Confirmed. This annoys me too.
Part of the problem I think is that gtk-window-decorator (and compiz?) is killed before all the applications. So suddenly all your windows lose their borders and titles, and Unity vanishes too, but the apps still linger a bit longer.
Visually it's jarring and does look like something has crashed. Ironically, I believe until recently it actually was the unityshell (in the compiz process) crashing. But compiz and unity should not be told to shut down until the windows are closed or hidden at least.
I suggest either:
1. A full screen shutdown splash; or
2. Hiding all windows during shutdown (the same as Ctrl+Super+D).
I prefer #2. That way if logout/shutdown fails or hangs for some reason, you can get your desktop back rather than being stuck with a hung splash screen.