There is no officially supported shutdown sound in Windows 10. I have a workaround that functions very well on some machines and not so great (as in it's inconsistent) on others.
I submitted feedback via the feedback hub quite a while back about this. It would not hurt for someone else to do so as well, then post the link to that feedback here so it can be upvoted by others.
Brian - Windows 10 Home, 64-Bit, Version 1809, Build 17763
Explanations exist; they have existed for all time; there is always a well-known solution to every human problem — neat, plausible, and wrong.
~ H.L. Mencken, AKA The Sage of Baltimore