I make Coffitivity.com and our Mac App is a menu bar app, and people love it. I'm not here to talk about that - we've never had a complaint about where it lives, where it lives is (as far as we can tell) is flawless in the menu bar.
What is shocking is how many users report bugs about the app because they think nothing happens when they open it, even though we alert them precisely to where it is with a dropdown. To a TON of users, that dropdown means nothing - there's no precedent to them for an app living there so it seems like just something to "find the x" to get out of.
Pretty interesting UX thing. Hush (coffitivity.com/hush) has the same issue.