It comes from the old era where computers didn't have tactile push buttons with proper signalling in the motherboard to initiate a shutdown and eventually cut the power. They had a good old switch. When you opened the switch it opened the power circuit which caused an immediate shutdown. When you closed the switch you got power. Just like a light bulb.

With DOS or Commodore systems this wasn't a huge deal. The only possible scenario to lose data is when you deliberately shut your computer immediately after commanding to write data. You would know you lose data because you knew the command hasn't completed the operation yet. With old consumer systems like those there could only be a single application running which took over the entire computer for itself. So the only way to lose it would be your deliberate action by closing the switch while it is saving.

Nowadays we don't have computers with a switch but when they introduced the first versions of OS/2, Windows etc. people still had computers with a switch. This is a big deal since those OSes introduced multitasking. Now there is always a supervisor program, i.e. the OS, running the other programs by switching them around really really fast. Moreover they started to do things at the background for efficiency reasons. Therefore user's ability to guess when a disk write happens has been disappeared. So suddenly shutting down a computer with a modern OS started to carry a risk. Since people gain habits while using machinery, they have to be reminded of the new behavior. Many people were using DOS systems and it was normal / habitual to just turn the computer off from the switch.

Due to those reasons early Windows versions displayed a message after a proper shutdown to inform the user to switch the computer off: https://devblogs.microsoft.com/oldnewthing/20160419-00/?p=93315