OK, watched the video. What's probably happening is the current traveling through the wires is blowing your TVS out when the system shuts down. This means the TVS can't handle the energy pulse being supplied to it, which isn't good.
Edit: Or the PSU is bunk, can't forget this.
I don't know for sure if this will work but you can try maybe putting two or more TVS's in parallel with each other. This *should* let them do some energy sharing when that big pulse of energy hits them. However, it's possible the exact trip thresholds of the TVS's are to far apart (do to parts tolerance). If so then only one will trip, take all the energy onto it's self, heat up, and explode like the one is doing.
Option 2 is to get bigger TVS's, if you can find any.
Option 3 is a full crowbar circuit of some kind, such as using the circuit we have and just slamming the MOSFET's fully on.
Finally, could roll without a TVS at all, which will most likely take out a MOSFET instead of the TVS's next time the surge happens.
-()b
Edit: Looks like I was a little late to the party... LOL.