I believed that this screen only appeared on Windows 7.
Anyone know when it was added ?

I have seen it on Windows Vista before too, when I had borrowed my older brother's laptop for the week and forgot to close out Firefox before shutting down, the little "would your like to save your tabs or quit" box was keeping Windows from leaving it's space in ram and shutting down completely. (correct me if my memory fails me there)
you may want to dig through longhorn builds to find when it came to be...

If I am not mistaken that has been around since vista rtm... just hardly ever works.

Although it seems to happen more frequently in 2008, I've seen it in Vista, but only once, as I don't own a Vista machine. There has always been something like that, wait 20 seconds in Win9x, and the end task now in XP, and this baby:

(Excel 3.0a with it's about box open under Windows 95. Oddly, if you use Ctrl-Alt-Delete to close Excel in that state, it quits right away.)
Windows has always attempted to wait for a program to quit gracefully before shutting down, but the option to directly force quit the program didn't seem to come until 98. The message is displayed by the program, and the one from Word shows how monopolistic Microsoft is:

You really put way to much on those pictures...