As someone who switches often between the mac and windows version this kills me. The mac version will continue after closing but the pc version just cuts the music completely.
The Windows experience is the same if the window is from an application that is running in the systray. In that case clicking the X closes the last window but leaves the application running.
I think daheza was saying that the removal of the systray caused the same actions (closing a window) to no longer do the same thing (get this window out of my way, but keep playing music) across operating systems when they used to in the past.