UCSM implements Gracefully OS shutdown with ACPI.
When performing Gracefully OS shutdown, UCSM sends ACPI signal to OS.
That is, it's OS side that decides action after that.
If OS ignores or does not support ACPI, OS won't be shut down though clicking Gracefully OS shutdown.
So, if you use Gracefully OS shutdown, it's better to confirm if OS is really shut down.
I'm not sure if this is expected behavior, but Windows 2003, 2008 server cannot be shut down when performing Gracefully OS shutdown during computer lock...
This behavior does not depend on a server vender. If it's during computer lock, gracefully OS shutdown won't start by power button.