I have issues when doing a backup before shut down. It never completes as Win7 shuts things down before completing and then I get a error that it didn't complete. So I do less backups. Wish I could tell LR to backup then shutdown. That way I can leave unattended. I too had more catalogs split up, but now have just 3 mains, and sooner or later at least one more will merge. As John said, it is better to manage less catalogs. One of the 3 I use often has 192K files, and I don't get such errors.
It sounds like you shut down your machine while LR is still open. or are you saying you shut down LR and Win7 shuts it down before the backup completes?