Proxmox VE uses ACPI to send shutdown signals to the Virtual Machines (QEMU/KVM). Thus your Virtual Machines needs to support ACPI so that it may react to such signals.
You should check if your VM reacts properly to the ACPI signals. Else the VM may not shutdown and Proxmox VE will stop it after a timeout on some API calls. Such a stop can lead to data loss in the worst case.
For Linux Virtual Machines, make sure that the ACPI event daemon is installed and running. Desktop distributions should already have it, but minimal or Server distributions may not.
For Ubuntu and Debian install the 'acpid' package in the Virtual Machine.
For Windows, make sure an ACPI HAL is installed.
On Windows server 2003/8 also make sure to change policy to allow shutdown without being logged into the system. Start -> Run:
Find the following key:
Computer Configuration\Windows Settings\Security Settings\Local Policies\Security Options\Shutdown: Allow system to be shut down without having to log on
Change it to Enabled.