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I have a Windows 7 computer and I am doing some tests: instead of shutting down it properly through the menu shutdown command I switch off the power supply. At the next boot Windows shows the message:

Windows did not shut down successfully. if this was due to the system not responding, or if the system was shutdown to protect data, you might be able to recover by choosing one of the following Safe Mode Configurations from the menu below:

Safe Mode

Safe Mode with networking

Safe Mode with Command Prompt.

Start Windows Normally

Now, the bold statement caught my attention: "if the system was shutdown to protect data", when do I need to cut off the power supply in order to protect the data?

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Reset to default
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That's not what it means. I can't tell you the intricate details, but the kernel stops on a 'general protection fault' (blue screen of death) when it detects access into protected memory. Especially with Windows 9x this was an issue, because the OS didn't provide any protection. The OS is forced to stop then, before bad things happen.

BTW, you may want to read this.

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    This happens on most modern operating systems - if the OS detects certain kinds of problems that make it impossible to guarantee the state of the machine from then on then refusing to continue is better than continuing in an unknown state and potentially introducing unknown corruption into your data.
    – Rob Moir
    Commented May 7, 2013 at 7:45

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