When I shut down my computer the other day, when I turned it back on, it did not ask for my password. It asks when it goes to sleep and I come back, but not when I turned it off. Weird. I looked at the privacy settings but didn’t notice anything.
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Sounds like you have "automatic login" turned on. Go to system preferences and select Users and Groups. Next, unlock the lock in the bottom left corner. Choose "off" next to automatic login. Your computer will now ask for your password when you turn it on.