How to find the HWND that is preventing shutdown?

EnumThreadWindows only enumerates the windows of one particular thread. It could be that the offending window was created in a thread. So I'd suggest that you use EnumWindows to enum all top level windows in your application for your test.

It's enough to initialize COM in a thread and you'll have a window you don't know about. That way a call to WaitForSingleObject in a thread could be your culprit: Debugging an application that would not behave with WM_QUERYENDSESSION