Even if you assign sounds to the events for 'Exit Windows', 'Windows Logon' and 'Windows Logoff' or try to restore these events using the Registry, they will not play. In Windows 10, Microsoft focused on making Windows boot and shut down faster. Developers of the OS had completely removed the sounds which play at logon, log off and shutdown.
Play the Shutdown Sound in Windows 10 Why Windows 10 doesn't play the shutdown sound