The shutdown option is not available for RDP Sessions, no matter if you have logged in as an admin or not. To fix it do this:

- Go on Start Menu & Click on Run.
- In the Run Dialog Box Type gpedit.msc and OK.
- Go for the following option:
- User Configuration\Administrative Templates\Start Menu and Taskbar
- Double click on Remove and Prevent Access to the Shut Down command
- Select any one of the option "Not configured" or "Disabled"
- Shut Down the Group Policy window.