Historically this message has been emitted at the end of ShutdownXLOG().
That's not an insane place for it in a standalone backend, but in the
postmaster environment we've grown a fair amount of stuff that happens
later, including archiver/walsender shutdown, stats collector shutdown,
etc.  Recent buildfarm experimentation showed that on slower machines
there could be many seconds' delay between finishing ShutdownXLOG() and
actual postmaster exit.  That's fairly confusing, both for testing
purposes and for DBAs.  Hence, move the code that prints this message
into UnlinkLockFiles(), so that it comes out just after we remove the
postmaster's pidfile.  That is a more appropriate definition of "is shut
down" from the point of view of "pg_ctl stop", for example.  In general,
removing the pidfile should be the last externally-visible action of
either a postmaster or a standalone backend; compare commit
d73d14c2 for instance.  So this seems
like a reasonably future-proof approach.