Plenty of Windows applications continue running in background by default after pressing X. It's so widespread that I'd say it's the expected behavior for anything that has a tray icon (Discord does). Most apps that are designed to run in background behave like that by default - media players, torrent clients, sync and backup programs, communication apps, even VMs.
For applications with an open mic to disappear into the Tray Icon without any visual indicator in the UI that the mic is still open however is very uncommon.