Is there any tool to send (mimic) a windows message like \'WM_ENDSESSION\' to a windows service?
OR
How can I send a windows message to a process using C#?
Check out the answers to How to simulate windows shutdown while debugging?
Services have an 'event' called OnShutdown they can subscribe to, so it could be the problem is in that code. If the code is .net you could subclass it so you can call the protected OnShutdown method to debug. But the problem could also be as suggested by others that the service is expecting resources to be available which aren't because they've already been closed.
Also, if the service was written in .net 2.0 note that the Stop() command isn't called automatically on a service when the workstation is being shut down! This is very surprising and was fixed in .net 3.5, but if you're using .net 2.0 you need to call Stop() yourself within OnShutdown().