Shutting down MacBook Pro 16-inch on Catalina

The Dock is always visible unless you changed the setting in Dock preferences. Your computer does not shut down when you close the lid. To shut down the computer you must select Shut Down... from the Apple menu or press Command-Option-Delete keys.

The screen should turn black when it shuts down fully. Are you being sure to wait until the keyboard backlight shuts off before closing the lid?

Open Dock preferences. Check the option to Automatically hide and show the Dock.