Guyon,
You're responding to a thread that has been closed for three years about an issue that was resolved via patch -- three years ago.
If you have any active SAPGUI sessions open, you cannot (and should not) close SAPLogon. If you try to, it will just minimize it to the task bar. If, on the other hand, all of your SAPGUI sessions are closed, then "closing" SAPLogon will indeed close it.
This behavior is current as of patch 4 for GUI 730, I believe.
Cheers,
Matt