Definitely the monitor, but this isn't a bad thing. You didn't specifically say this, or at least i don't remember you saying this, but the system powers itself down with the soft -power down utility. (You hit start, shutdown, and then the system turns itself off without you having to flip the PC's power switch) The monitor is getting a signal from the PC. When the PC shuts off, the signal is lost, and thus the monitor says, "Hey...signal is out of range. i can't put an image on the screen anymore." (Okay, the monitor doesn't really talk or think this, but you get the idea

) Anyway, after your monitor alerts you, it probably goes into power saving mode. All completely normal. I think the nanao monitors we used to have at my old company did that....
Nothing to worry about at all.