By default when using the User Registration in header, when a logged in user clicks "Log Out" it forwards them to a page with a logout button they have to click to truly log out. This is a poor user experience.
To make the dropdown Logout log out instantly, create another Main menu item called "Logout," select Users->Logout, and disable it from showing on the menu in the Link Type settings.
Now users won't see the second button and will truly be logged out.