The app doesn't close when I click the "close" button.

I used voice chat and click the "close" button. The window closed, but the app was running in the background. So I was in the voice chat with on microphone for 2+ hours and didn't know about this. And there weren't any icons on the Desktop.
After researching I found this is default settings. Please, can you remove this from default settings and make it more intuitive?