I thought the same thing… But the grammarian in me says, “Let’s look more closely at this sentence.”
“Windows is shutting down”
First: There is no punctuation. On the computer screen, when this message appears, it is often followed by ellipses, which indicate continuing action. Possibly, there is no conflict with the rules of grammar.
Now, on to the sentence:
Subject --> Transitive verb --> Adjective
Where’s the Direct object? In other words, what is Windows shutting down?
Or, Subject --> Linking verb --> Adjective
How does “shutting down” describe Windows?
I’m actually inclined to say that Microsoft’s grammar is in fact incorrect. Note the other messages that appear around the message in question, or at similar times. No subject means that they are not complete sentences either.