What you might be missing is that gpedit.msc is nothing but a tool, an editor.
On a "normal" XP, what it actually does is, provided you added your script (myscript.cmd) in:
%SystemRoot%\System32\GroupPolicy\Machine\Scripts\Shutdown
to write a Registry key:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Group Policy\State\Machine\Scripts\Shutdown\0\0
With contents:
CODE
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Group Policy\State\Machine\Scripts\Shutdown\0\0]
"Script"="myscript.cmd"
"Parameters"=""
"ExecTime"=hex(b):00,00,00,00,00,00,00,00,00,00,00,00,00,00,00,00
Point is that LiveXP is NOT XP, it is a PE.
I don't think that the GroupPolicy is effective in it.

I guess that on a PE the methods discussed here:
http://www.911cd.net/forums//index.php?showtopic=15987are the only viable ones, cannot say how they would apply to LiveXP....
jaclaz