Windows 10 uses something called fast startup mode. By default, this is enabled and it does just that – allows you start up faster. What you are really doing instead of shutting down is hibernating. It caches everything so it will all load faster when you “turn it back on.”
To control what happens you can go to Control Panel > Power Options > and click “Choose what the power button do” and you can change what you want to do. If you are on a laptop, you can choose what happens when you close the lid as well.
If you really want to shut down, you will have to do a restart. This makes the old “if you have problems, reboot” really mean it.
If you are feeling adventuresome, you can create your own power plan as well.