User Experience: should user be asked about everything?

Let me give you some examples:

• Mac OS: (most of) the settings just don't ask for confirmation (neither 'apply' nor 'cancel');
• Windows Vista: stand-by button doesn't ask for confirmation; neither the rest of the session options, including shutdown;
  
• OneNote: no confirmation either;
• Windows Mobile: same here;

The fact is this seems to annoy a lot of people I know. To be honest, at first this 'no confirmation' pattern seemed a little dangerous. Now that I'm used to them it makes perfect sense.

We are somehow used to be ask a lot of confirmation messages, and this makes us feel safe. But confirmation messages are annoying by themselves, and quite cumbersome on some occasions.

What do you think about these confirmation messages?