You need to add the "Indicator Applet Session" applet. It's in the "Add to Panel" list.
The "Shutdown" applet gives you a popup dialog with Shut Down, Restart, Suspend and Hibernate options.
The "Indicator Applet Session" applet gives you the drop-down menu with Log Out, Suspend, Hibernate, Restart and Shut Down options, as well as Lock Screen, Guest Session, Switch from... and other fast-user-switching options.