If you are holding the power button in to force a shutdown then that's bad regardless of logging off or not.
...and the reason it's bad is because, when you do a shutdown like that, your operating system doesn't get the opportunity to clean up after itself and close programs and services in an orderly fashion. The result is that when Windows wakes up, it knows it's had a hard halt and runs all kinds of time-consuming diagnostics, which lengthen your boot time. Furthermore, you can, in some instances, do actual physical damage to your HDD by shutting down that way.
The ideal way to shut down Windows is to choose Shut Down from the Start menu; there's rarely any reason to have to use the hardware power button on modern computers.