Go to Settings-> General -> Shutdown Options. Where it says Default Shutdown Mode, select either Hibernate or Standby (depending on what you have your machine setup to do when the power button is pressed). It's probably set to Close Program by default. Hit the scroll down button and make sure that Shutdown Immediately when the power button is pressed is checked.
Post a log over at SD forum. I don't have XM so I can't comment on it.