The question should be along the lines of
Is my computer more vulnerable if I leave wireless on while shutting down/booting.
I would say it's "possible," but most likely you are completely fine, if we assume you are up to date with patches and all that good stuff.
I've seen AV Programs that have an option if you want to wait to disable the firewall until the computer shuts down (why you wouldn't wait I don't know), and the Firewall will most likely load before you boot up completely, and possibly have loaded some other protections as well. Your computer's speed will also play a factor in this, as I've seen computers load protection right away, and some it takes a few seconds.
I've also seen an AV where it's Splash Screen will tell you that you are protected(or not), before the GUI is set up. The priority of the AV/Protection applications is to make sure you are protected, then it will load the scanners, the parental control, and all of the other "lesser important" stuff.
I've even seen in some instances where the network wont connect until the GUI, of the AV, is loaded up.
In playing Devil's Advocate, lets say you weren't protected for 5 seconds which is a very generous number IMO. What are the odds someone has found you, and started penetration tests to see if you have an open port to attack, installed malware, or tried to hack you, before your AV actually gets it's protection up?
This is also assuming Windows Firewall/Defender are disabled as well, because those probably are enabled early on.
I would say you are fine, I'm not sure how many people do what you do, but I understand your precautions.