I am using XFCE on Ubuntu. I have a shutdown action button on the panel. Clicking it shuts down the system without any prompt.

In Settings->Session and Startup the checkbox "Automatically save session on logout" is clear.  

But when I click shutdown, the session is saved anyway.

The text should be changed to say "Automatically save session on shutdown or logout" and this setting should apply when shutdown is chosen. It makes no sense to treat shutdown and logout differently.