I can confirm that as of today this behaviour still exists in Debian Stretch. The shutdown dialog is shown with all buttons enabled. Choosing an option only closes the dialog. Subsequent invocations of the shutdown dialog only yield the error message described in the original post.
I have tried this on clean installations using LightDM, LXDM, and noDM as display managers, all with autologin. In all cases the shutdown dialog works as expected when x11-xserver-utils is installed and stops working when this package is not installed. I have not yet tried whether this might be connected to the session saving option. In all my tests session saving was enabled. -- Paul
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