Lee
This can happen for two reasons.

1) winmgmt is in the process of conducting its normal job as you decide to
shut down, and is basically asking for a few seconds more time to finish
2) Winmgmt is 'stuck' in process - which unfortunately can happen quite a
lot. This tends to cause slowdown on PC's  - so if you're seeing that (and
it may be the reason you're shutting down?), then the best thing would be to
prevent the PCHealth Data Collection service from starting - which is what
can cause this behaviour.

The Data Collection service is a utility designed to launch winmgmt every 10
minutes to gather data in case you have a problem, and store this data for
analysis by some techies somewhere if requested - but I know of no-one
outside MS who has the knowledge to analyse this data, so it's not that much
use anyway<g>

To prevent PCHealth Data Collection from starting, it needs to be disabled
in two places - Scheduled Tasks, and in MSCONFIG
First, in Scheduled Tasks, r-click on the PCHealth.... entry, and select
Properties. UNcheck the 'Enabled' box at the bottom, click on Apply, then OK
Then, got to Start|Run, and type MSCONFIG into the dialog box, and click
OK - select the Startup tab on the resulting popup. Look for the PCHealth
entry (usually about 4/5 down), and UNcheck the box - click Apply, and OK,
and reboot on request.

HTH