Alt+F4 does close the application, "X-ing" it however puts it into the system tray and it remains active, which bothered me from the first day i've been using it.
Not sure about Discord, but this would be extremely weird behavior. The extremely clear convention on Windows is that Alt+F4 closes the currently focused window, not more, no less.
Whether closing the current window should close the application or not depends on many things, but having different behavior between Alt+F4 and the window close button would be very strange.
Alt+F4 does close the application, "X-ing" it however puts it into the system tray and it remains active, which bothered me from the first day i've been using it.