I certainly have this with Miranda IM too. I sometimes close miranda, but the container window remains open. Other occasions it closes as it supposes to be.
Perhaps its a bug in one of the dependencies, like MDI or so.
The weird thing about the issue with Miranda is: I always use the same plugins, but doesn't always close completely, so it can't only be related to what is going on. Its almost as if a service hangs. And at work, I even see this with programs like MS Word, Outlook, excel (also others, but these occur more frequently)