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.
This is simply a fundamental difference between OS X and Windows. Typically in OS X an application remains open after closing its last window, whereas in Windows this is typically the signal to quit the application entirely. Try minimizing in Windows, that's the appropriate equivalent.
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.
In Windows you used to be able to set the close action to minimize to tray (so effectively it did the same as OSX). This isn't a non-standard thing in Windows either, plenty of applications offer that behaviour. But a recent update of Spotify removed this and it is insanely annoying. I keep closing it just out of muscle memory and it's infuriating.