Prior to logging in, the shutdown option is available by default.
If you lock the wkstn/server, the shutdown option is not available.
I am not sure why you are using a screen saver to lock your servers with.
press ctl+alt+delete, press lockcomputer and it will lock it w/o and option for shutting down.
There are pros and cons though of choosing lock computer versus log off.
Locking the compter keeps the user logged in. Which from a security perspective, any one who sucessfully hacks in will have rights as the current interactive user.
Logging off however allows for shutdowns to occur.
If the server is kept in a locked server room or cabinent, and there are no programs on the machine that need to run in interactive mode. Then logging off is the safest bet. Regardless of the shutdown option.