Are you sure? The datasheet makes a point of saying that the ADC must be disabled (ADCSRA) before being shutdown (PRR). You commented that disabling the ADC doesn't seem to do anything, but it should make a noticeable difference.
By putting the "power_all_disable()" at the end of setup() the voltage across my 10K resistor went from 2.2V to 68mV(!)
That means power consumption is 6.8uA ... and that's exactly where it should be for "5V power down with Watchdog".
Damn datasheets, you have to read *every* word.
++karma for you.