The 'X' button on desktop doesn't close the app, just removes it from the taskbar, leaving it running in the System Tray (shifts it into a background task) - This should be an explicit option - as it still consumes resources that it shouldn't be.

The problem is magnified by the fact that Windows will hide the icon by default so there is no indication it is still running.

In _some_ ways it makes sense if a DB instance is still running - though a warning would be useful, but if no instances are running, the X should exit fully.