This is in all versions of rhythmn box is confusing and inconsistent. The "X" tool tip clearly says "Close Window" so since Rhythmnbox runs in the system tray / background users will find it confusing and counterintuitive that the program quits.

Matters get even more confusing because under the file menu in Music there are two related options:

1) Close (window closes as expected)
2) Quit (program closes as expected)

It can be really confusing when close means close in one location and quit in another location. The correct behavior should be closing the window as the tool tip suggests or the tool tip should be changed.