Follow these steps to change the Start menu Power button to Shut Down instead of Sleep.
Step 1: Go to Control panel -> Power options.
Step 2: This will list down the Preferred plans of energy saving. Choose whichever is preferable to you.
Step 3: Under the option you have chosen, click the 'Change plan settings'.
Step 4: Click 'Change advanced power settings'.
Step 5: Under the list of given options, expand 'Power buttons and lid'
Step 6: Expand 'start menu power button' and change the setting to shut down.
Now you can shut down your computer using start menu power button.