What version of the Linux kernel are you running? Because I know that kernel 2.6.0-1mdk had this problem on my laptop. The stable kernel (2.4.22-10mdk) worked perfectly in contrast.
I ended up reverting to the 2.4.22-10mdk kernel because on my system, not only did power down not work correctly, but ethernet didn't either. I had to manually turn ethernet on to get an internet connection with kernel 2.6.0-1mdk. I haven't tried upgrading to a later version of the kernel yet, but the upgrade isn't that critical to me, since I'll be switching to a brand new laptop in a few months, and perhaps by then Mandrake 10 will be available.
There is a fine line between genius and insanity. I have erased this line.