Take a step away from classic Windows processes. That was a huge part of Windows 8 and should help you understand this.
Think about how you turn your phone on or off. There's a physical button that does this. Android/iOS? Power is a physical button. If you think about it, the power on function has to be a physical button somewhere or somehow, since the software isn't started. Android and iOS both present a menu when holding the Power button asking if you're sure you really want to power off.
It's interesting to note that PCs are pretty much the one place where power on and power off are extremely different actions; off/on is the same button/switch (possibly in reverse) for almost all other powered objects. Lights, blenders, phones, cars. What's really puzzling is how we've grown accustomed to PCs not working like this! A big point of Windows 8 is breaking this hard-set convention in a way that makes sense in the long run, even if usability sins of the past trip you up your first time.
I actually think it's a good idea to get people used to using the physical control in this case; aside from minimalism (one button for each control), isn't it a bit odd to turn the device on with a physical button but off only via a software button? Further, many people seem to think turning their PC off with the physical button is dangerous, mistakenly thinking it's a hard power-off (which typically only happens if you hold the power button). Anecdotally, I've told many people you can just tap their power button to turn it off and it won't hurt anything.
For PCs, this design makes more sense if you consider that they're pushing for you to turn the device off, not put it to sleep, after all that's the power button's default action. The Vista power button fiasco made it pretty apparent a lot of people don't understand/want their computer to "Sleep", especially not when they press (what appears to be) a power button.
Personally I always liked Sleep and I find it odd to see Microsoft moving away from it; mobile devices in particular generally don't get turned off. The only times my Android phone or iPad are turned off are because they crashed, updated their OS or their batteries ran out. Microsoft might be hoping more people turn their PC off, but leave their tablets on "sleep", because these are the default actions of PC/tablet power buttons in most cases. It may be they're pushing for turning your PC off because of Windows' notorious "just reboot it" style bugs; the longer you put your PC to sleep instead of turning it off/on the more likely you are to start collecting those weird system state issues.
By mapping the default action to the physical button, Windows 8 takes away the "what way should I turn off my device" problem, you just hit the power button. If you're most users, you don't really care or know what the difference is between your PC starting up and your tablet "waking" up.
Power management is complicated. One thing that Windows 8 has clearly done in many areas is to "hide" more complicated power user functions behind menus. The value of this decision is debatable, but I think it was made more for the average user who doesn't really need to know about this stuff.
The problem Windows 8 will have here, as with many other issues, is retraining these people. For over a decade of Windows, they've taught users (novice users and power users) to look for the Off switch in the Start menu. A change there is disruptive, but I think they're going for the long-term change which makes sense (power is a physical button!) even if the change is a shock at first. This is an operating system after all, easy first time use isn't always wanted if it complicates long-term usability.