I mean, that's the native Windows behaviour. If you want to close a program in Windows, you right click it in the Task bar and hit 'Close window', then the program is closed. Spotify won't do anything, but instead you have a 'Task' to 'Close Spotify', which is for whatever reason sometimes there and sometimes not (see screenshots below). Please support this idea if you want to easily close Spotify like every other Windows software by the native 'Close window' command. Thx.
'Close window' does not work, you have an extra task for that. But...
not always! Sometimes it's missing and you also can't pin it!
This idea has already been suggested here:
http://community.spotify.com/t5/ideas/v2/ideapage/
It got marked as case closed. However, you can still add your comments there! ;)