You must wait for MoneroGui.Net.exe to close: It remains open because it's waiting for bitmonerod.exe to terminate and will only shut down after the daemon process gets stopped (try killing bitmonerod.exe manually after closing MoneroX, MoneroGui.Net.exe should close). The icon failure is because every bundle was built on Ubuntu. I may re-compile MoneroGui.Net.exe on Windows, so it will have an icon.