I really don't know what your problem might be, but, just for the heck of it, have you tried using different WAV files for the startup and/or shutdown sounds? It might help you further diagnose the problem.
No big problem, but even though my other sounds seems to to working, I am not getting the Windows music when I start and shutdown Windows XP. I went into sounds on the control panel and the music works when I test it there. I uninstalled my sound card in device manager and then restarted and windows put it back but still no music.