Save prompt occurring on shutdown does not exit the program

[ProgerXP]

Run Notepad2, modify document, initiate Windows shutdown or sign out. Notepad2 will display the "Save changes?" box before Windows shows the blue screen with pending programs. If you then cancel the shutdown, return to desktop, and press No in the message box, Notepad2 will do nothing instead of exiting.

On a related note, what is the mechanism of customizing the message shown by Windows on this blue screen (under the program's name), like some programs do?