Advanced Power Management is somewhat supported in R4.5, and some machines will actually power down when you select Shutdown from the Be menu. However, because this doesn’t work in all machines and can cause problems for those which don’t (e.g. the machine might actually power itself back up minutes or hours after shutdown!), Be has disabled this option by default. SMP machines in particular may have trouble with this feature.
If you want to see whether your machine supports this, see the tip Make Boot Options Permanent, then edit ~/config/settings/kernel/drivers/kernel. Uncomment the line:

enable_shutdown true # enable power-off on system shutdown

After your next restart, check to see if you can actually power down from the Be menu. If so, leave this option enabled. If not, it’s probably safest to re-comment the line above.
Note: R4.5’s APM support is not perfect. ITO Takayuki offers an updated APM driver which improves on Be’s offering. It provides automatic power-off and battery status for more (but not all) machines.