When Windows shuts down, it switches video modes, down to (IIRC) 640x480 or 800x600. Since you're fullscreen, it's resizing the actual display i OSX to faithfully recreate this. So, as far as OSX is concerned, your desktop size is changing, and thus it's "helpfully" moving/resizing your open windows to compensate.
FWIW, the same sort of thing happens when booting/shutting down a linux VM in fullscreen.
I'd recommend swapping out of fullscreen just before you shut down (or boot!) the VM. Makes things much smoother =)
