There is a difference between the shutdown option in the start menu and that found in the XP Task Manager. The former gives applications the opportunity to orderly stop whatever they are doing and close themselves. The latter forcibly terminates all applications immediately with no regard for what they may be doing. This could result in data loss or corruption or have other undesirable results. It is better than pulling the plug on the computer, but not much. The forced shutdown should be used only when a normal shutdown is not possible.
There is less need for a forcible shutdown in Vista and later and that is likely why it was not provided. In XP and earlier it was possible for an application to block shutdown and this sometimes occurred. In Vista and later this is not normally possible. Applications are given the opportunity to close themselves but if they have not done so within a specified period of time they will be forcibly terminated.