It is correct - software can't make a machine Blue Screen or shut down. Shut downs are generally protective mechanisms, which is based on the hardware getting into some state where it might get damaged, e.g. overheating.
EDIT - as a note, Corona DOES use a CPU to its maximum capacity, for an extended period. This means that if there is some hardware issue like a cooling problem, it is more likely to happen with Corona than many other pieces of software (it's especially true during Denoising, if using Corona Denoising, which you are). This is not anything wrong with Corona though, it's the hardware not being able to run at its max for an extended period because of e.g. cooling.
EDIT 2 - remember CPU cores are not the only thing that can overheat. e.g. if it is drawing a lot of voltage at full usage, this could cause other components on the motherboard to get too hot if there is insufficient cooling.