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In general, some Linux don't turn on "Wakeup on LAN (WOL)" feature.
Therefore, user might find that shutdown a computer by Windows,
WOL works, however, shutdown a computer by Linux,
WOL fails.

Then, how to turn on WOL?
There is a command called ethtool for that.
ethtool is a tool to tune the Linux Ethernet driver settings.
An example to turn on WOL is:
sudo /sbin/ethtool -s eth0 wol g

And, remember to turn on BIOS settings for WOL, irregular of using Windows or Linux.
For example, my motherboard integrates the Ethernet card on the PCIE bus.
Therefore, I enable this BIOS power on settings.
Power on By PCIE Devices [Enabled]