I use HDloader ELF from memory card on a USA V9 with DMS3 V9.
As you know, a CD or DVD needs to be in the tray or else HDLoader hangs on a black screen.
BUT! I just noticed that it makes a difference if you put a DVD original or DVD backup in the tray!
If you put an original, then you can switch off the PS2 the way it's meant to switch off : you press reset 2 seconds and it goes off.
But if you put a backup, then you will not be able to fast-switch-off the PS2 and you must press reset at least 10 seconds before it switches off...
So if you've never been able to switch off the PS2 normally after a HDLoader session, just put an original in the tray instead and it'll go off as it's designed to.