I have a new XPS 8300 / Win7/ i7 . This machine runs fine including shutdown without External eSata drive attached (WD 1TB).
With this drive attached, Windows hangs either at log off or shut down requiring hard shutdown.
I have a WD-1tb drive, but it's on my XP based MediaPortal box ... works fine. Yes, the eSata is much faster than USB2 (its older, so no USB3).
In Device Manager, do you have the device "WD SES Device" ? I think there is also a WD Backup or Utility Suite for this drive ... I don't use it or have it loaded.
When this drive is connected via eSata, it should look and act like a internal Sata drive to the OS. Check your BIOS and make sure it's not set to be bootable.
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I'd start by looking at your Anti-virus program, or similar.
What happens when you try to Safely Remove Hardware / Eject Media prior to log off/shutdown?
Typically something is keeping an open file on the drive, and that prevents its 'unmounting'. Filemon could help track the cuplrit, if required.
I would also check any programs that might be indexing all of the items (I have this disabled on my Nero installation) or whether you have any auto backup programs (some external drives come with these pre-installed, but I always uninstall them).
I have several external drives and I find that with the older Maxtors start-up is slower if they are powered up, but shut down is fine.
Did any of the suggestions solve the problem? I am interested, because I just ordered an XPS 8300 and intend to purchase an external eSata drive. I have a Dell Optiplex 760 at work with an eSata, running Windows XP and it works well most of the time, but occasionally, the eSata seems to hang everything and I need to do a Hard shutdown and reboot. Not sure if that is relevant to your problem, because it sounds like your system always has the logoff problem where as min seems to be intermittent.
Have you tried manually doing a Shutdown of the eSata before logging off?