You are correct, the power off feature of AMT does not operate at the OS level and could cause data loss if user's had open files, etc. I do have a few suggestions for you, however.
It's important to keep in mind that AMT is designed to augment existing capabilities, not replace them. There are currently many ways to remotely shutdown a computer that perform the operation "gracefully". I would recommend continuing to use these tools.
The AMT power off feature is really intended to be used when a machine is non-responsive to any normal software commands, or "hard locked", if you will. Typically this scenario would require either the user to push the power button, or a technician to be sent to the system (if there was no user present). In this case AMT provides the ability to "skip" this deskside visit by providing remote power off at a much lower level than the OS shutdown operation.
That being said, there are a few ISV's that have done some intelligent coding with this feature. If you submit a power off request and the console notices that the system is powered on, they re-direct that power down to their in-band software agent, which performs a graceful shutdown from Windows rather than the hard reset from within AMT.
Hopefully that helps put things into perspective.