You can thank Windows for this. Back in the day when we went from DOS to Windows, this notion of a "proper shutdown" was introduced, and God forbid you press the power button, or bad things would happen.
I'm not positive Windows was the first to do this, but I think it's safe to say it was the one that started this habit for most people.
And now, it has became so engraved in our brain that it's nearly impossible to un-train. I to this day never use the power button on any device to shut it down out of uncertainty that I don't know what will happen[1] if I do.
[1]http://www.aeropause.com/wordpress/archives/images/2008/11/a...