The convention on Windows has always been that Alt+F4 or the X button (or the Close action in the Window Menu) will close the currently focused window (this even works for dialog boxes in Win32 apps!). There is also a softer convention that apps exit when their main/last window is closed, but this has never been a strong convention, and Chat apps in particular have been exiting/minimizing to systray when their windows are closed for decades at this point.

However, keeping an active voice session open with no window open is definitely outside the norm - most apps with audio chat that I know have to audio chat strictly tied to a window.