Are you checking the Processes tab or the Applications tab on the task manager?
The processes tab since that's where you look for running processes :)
it exits fine for me with the X and with File->Exit.
*EDIT*
ok, I have since restarted my computer and I ran it again and now I get a process remaining (there definitely wasn't one before, I looked several times).
When I closed it previously (several hours ago), I clicked the X and it showed the same message boxes that it shows when you choose exit. but it isn't doing it this time.