I've found in both linux and Windows that some motherboards take OS instructions re: power states to be more of an "If you would be so kind..." hint rather than a "Do this. Now." instruction.
Except on Sandy Bridge/Ivy Bridge chips (which need the power saving features enabled to allow for multiplier overclocking) I do have a tendency to turn BIOS based CPU clock control/power saving off as it can be more trouble than its worth (see comment about Unreal Tournament engine games...)
It is unlikely that disabling Cool 'n' Quiet made the system suddenly decide that it doesn't want to turn off. However, put settings back the way they were and see if it still does it.
It it does, if you've got a spare PSU around, swap to it and see whether it continues to play silly-wossnames. I just received an RMA back this morning for a PSU that was making the system it was running randomly power on and off or refuse to power on or off. Was driving me up the wall, and proves that even quality kit can go wonky sometimes after running perfectly for a couple of years.