It's no real surprise that Microsoft's products are replete with cases where they don't follow their own application design and human interface guidelines. So many, in fact, that it really doesn't deserve an entry... it'd be akin to writing "the sky is blue today." But recently, I've just been extremely annoyed by Outlook XP's behavior, where if you shut down the system with Outlook still running, it will cancel the shutdown with a message saying "Please close all Microsoft Office applications before closing Windows" contrary to the behavior of every other Windows app [*] whereupon receiving the WM_SHUTDOWN message, they will ask you to save any open documents, and then quit gracefully.
It's especially maddening if a restart sequence can take several minutes as it does on my laptop, and I shut down, step away from my machine, and instead of finding a freshly booted-up Windows desktop, find that annoying dialog box.
I've heard Office 2003 fixes this... we'll see.
[*] Actually, 3DS Max, as of version 4.0 had this annoying behavior as well. I'm not sure if later versions have fixed it, as I use Maya as my primary 3D content creation app now.