This button does by default nothing, that is correct. There is no general solution to shut down - some need a remote plug, some have a g-code or a gpio pin on pi. So what it does is execute the Skript in Printer-Config->G-Codes->Event Dependent->Shutdown Printer - so you additional need to add there the command that shuts down your printer.
BTW: Most printers have no way to do this by default. Natural solution is a wifi plug - but make sure you know there is a url you can send to enable/disable it. In past IFTTT capable plugs were the best option, but now more than 3 scripts of IFTTT require paid plan for IFTTT.
