Pressing both mouse buttons simultaneously displays a list of all the open windows.

OS/2 includes a better selection of games than Windows 3.x did.

OS/2 can run DOS and Windows 3.x applications.
OS/2 bundles a special version of Windows 3.0 that runs in a Virtual DOS Machine (VDM) that is modified to redirect any Graphical Device Interface calls to OS/2.
This enables Windows 3.x apps to run seamlessly.

OS/2 enables you to lock the screen. Pressing enter will prompt you for your password.

Finally, shutting down OS/2.

This was apparently only needed when you wanted to save your desktop settings, as from the documentation it appears as though you were supposed to just turn it off from the switch (which was common for DOS and Windows systems of the day).