Shutdown FX may not be the only thing doing funky things at shutdown.  For instance, there is a program which will let you play a QuickTime movie at shutdown.  At any rate, there may be a whole queue of programs running at shutdown (or restart), so you can control how soon in this queue Shutdown FX fades the screen by selecting “Fade as early as possible” or “Fade as late as possible” from the “Options” menu.

This option will not take effect until after you restart your Macintosh.  If you change the setting, do not be surprised that Shutdown FX hasn’t changed its behavior.  It will as soon as you restart.