Windows is a bit weird sometimes. On most Linux DEs there is this functionality, and I believe MacOS also has something similar.

I do know that Windows lets you change whether the power button shuts down or makes your screen go to sleep (which doesn't kill all your programs), so you could do that.

On a related note, I hate that you need to click the small button in the start menu to restart on Windows. On Linux, typing "restart" in the search field pops up the option, making it super quick for troubleshooting and that sort. One more reason why Linux is superior to Windows I guess!