Since Windows 8 introduced "fast startup", Windows no longer finishes the installation of updates when performing a regular shutdown. The next time you turn on your computer, it will ask again to restart your computer to finish the installation of updates. The reason for this is "fast startup", which does not do a full shutdown, whereas a restart does a full shutdown and startup of your computer.

You could turn off "fast startup" but who would want that, right? Luckily, there is a workaround.

When you hold down Shift, then click on the Shutdown button, your computer will do a full shutdown just this once, enabling Windows Update to finish the installation of updates.