There is no shutdown on Lock Screen.
The settings are grouped together under the name "Lock Screen", but there are two groups as you can see below.
Note that the option for shutdown, etc, appears only in the "when switching user" block.
The first block has to do with locking the screen when there is a user logged in, to protect this user content.
The second block has to do with switching from one account to another.
Probably not the clearest way, but then not all the reorganization of System Settings (from System Preferences) makes a lot sense. In my opinion, some things make more sense than before, others not so much.