I have just confirmed that if I make a simple example with just basic application, it appears to do the same thing. If I run the program, then close with the windows close button, the window will disappear, but the process remains running. I have checked to ensure it is still running with "ps -ax", and is shows on the monitor.
I have also tested not using Monodevelop, but just run the compiled program from the command line, and it still seems to close the window, but leave the process running. I then have to run a "kill" to remove this process.