If the option "When power button is pressed" is set to "Ask" when I press the shutdown button nothing happens, no menus or anything. The output from running xfce4-power-manager --debug --no-daemon TRACE[xfpm-button.c:114] xfpm_button_filter_x_events(): Key press: ((XfpmButtonKey) BUTTON_POWER_OFF) TRACE[xfpm-manager.c:259] xfpm_manager_button_pressed_cb(): Received button press event: ((XfpmButtonKey) BUTTON_POWER_OFF) TRACE[xfpm-manager.c:287] xfpm_manager_button_pressed_cb(): Shutdown request : : ((XfpmShutdownRequest) XFPM_ASK) If the option "When power button is pressed" is set to "Shutdown" then the system successfully shutsdown when the button is pressed. I am on a Dell Latitude D430 laptop and a Desktop PC both running Lubuntu.
The problem might be that you're running Lubuntu. In Xfce, the power-manager shows the logout dialog when it's set to "Ask", so it's working as it should. Maybe someone from LXDE can supply a patch here to support their platform a bit better?
Just realized this is actually a duplicate bugreport. *** This bug has been marked as a duplicate of bug 9002 ***