This was an intentional design decision. If the user (or their cat) accidentally taps the power button while there's some important unsaved work open, this dialog allows the user to cancel the shut down attempt before any potentially disastrous consequences. It could happen to the best of us even when we don't expect it, speaking from personal experience from my Windows days (long before switching to Linux and starting Zorin OS).
Nevertheless, this dialog will automatically time-out anyway after 60 seconds if the user still intends to shut down the computer without any further interaction. We believe is a reasonable trade-off.
However, if you still wish to shut down the computer immediately, the solution from @Hercules appears to provide a workable override for this behaviour.