Not always, but sometimes, I close WLM and it 'disappears' as you'd expect.
A few minutes later, an error message pops up 'WLM Has Encountered A Problem And Has Had To Close....'. You know the one!!
Looking into this showed that WLM was often still displayed as running in Task Manager even after I had closed it down. The phenomena does not always correspond to when closing WLM occurs during it's checking of my email accounts.