I never shut down any FortiGate, nor did i run into Problems.
There' s a fact though that FortiGate has a Compact Flash where it can write to. So naturally there is potential that you switch off while write-operations (config change, persistant logfiles, statistics, debuglog etc) happens and damage the fileformat on the flashdisk.
In that case you have to physically (locally) access the Device with a serial cable, format the flash and re-write the Firmware.
My understanding is that FortiOs is sort of resistent to these Problems - but the unforseen can happen any time ;)
-R.