After having thought more of it, I am not sure if this is possible to accomplish.
We cannot use Local System Account as this requires traversing the NAS. So, we need a domain account to run the Windows Service. In that mode, no interaction is allowed. So, if no interaction is allowed, it would then make sense that such functionality is not supported.
If there is a way, I would surely like to know about it. But, I have not found anyone on the net who succeeded to accomplish that. I have seen a lot of pages which deals with such actions but from a Windows form. Thus, a desktop application which is running can respond to an OnShutDown event and advise the user for some decision making.
One way that has been suggested to me would be to use a very small Windows Service, a slave, with Local System Account, with the sole responsability to assure that all related Windows Services are properly closed and restarted when we restart the server. Thus, such service could then notify the user, when he does the restart, that he has to wait as we have some ongoing operations in progress. With Local System Account, the interaction with the desktop is allowed.