Updated on 30 Jan 2009: Checked the shutdown dialog on Ubuntu Interpid Ibex 8.10, it is accessible with orca screen reader.
The accessibility problem of the GNOME shutdown menu is perhaps the most frequently raised question on accessibility (a11y) and the Orca mailing-lists and chat rooms. Orca screen reader doesn't speak up the contents of the shutdown dialog and its a pain to wait for next 60 seconds for the computer to start the shutdown process.
Here is a work around I use in Braille Without Borders IISE campus, the idea is to avoid the shutdown dialog prompting altogether. Here is how you turn it off. Go to System Menu and choose Preferences sub menu and scroll down to Power Management and select it (System > Preferences > Power Management). In the GNOME Power Management tool, select General Preference tab, change the "When power button is pressed is pressed" option to 'shutdown' instead of 'ask me'.