OK, two years on, I have finally managed to fix this shutdown problem with the P5A and Windows 2000 by using ASUS's new BIOS revision - 1011 Beta 005. Simply enable APM after up[censored] to this revision, and your system *should* power down properly on Shutdown!
Heres the link:
ftp://ftp.asus.com.tw/pub/ASUS/mb/sock7/ali/p5a/1011-005.zip