Windows – WOL doesn’t work when shutdown

I've enabled WOL on shutdown function. I've disabled Energy Star from either Windows adapter settings and BIOS. I've enabled WOL on Magic Packet (also with broadcasting) and in power management tab all checkmarks are there. Still I am able to wake up the PC from sleep mode, but if I shut down it, no way to wake it up…

Mainboard is ASUS P5Q3, Windows 7 64 bit.

Pulling my hair off slowly…

I'm using direct LAN connection from Ubuntu server to that PC, through switch. LAN LED is on after shutdown. I have tried both ethernet ports, same result.

C:\>powercfg -devicequery wake_armed
Marvell Yukon 88E8001/8003/8010 PCI Gigabit Ethernet Controller
Marvell Yukon 88E8056 PCI-E Gigabit Ethernet Controller