I have just finish setting up my first backup on Paragon Backup and Recovery 16 and had 'discovered' the close system option (more by serendipity than any sort of skill).
If you are setting a new backup job up using the wizard, it is on the 4th page marked "List of Strategies" and it is the bottom option which has "Prevent from going to sleep/hibernate..." in it. If you go over to the right of that and click on Edit> you will get the choices:
- Prevent from going to sleep/hibernate
- Wake up from sleep/hibernate
- Shutdown system after backup completes
If you want to set this on an existing backup go Main view > My Backups (tab at bottom of screen) click on the backup job's name and select Edit Job from the pop-out then click on Schedule and then again it is the bottom option and click on Edit>
Hope this helps