Xenith: close a program, it doesn't close

Using Wyse Xenith clients with firmware 1.5x, when a user "X's out (closes) an application, the application disappears but the session stays open. A Microsoft blue background screen is shown. The menu bar shows the program still open, but it is nowhere on the screen (not minimized or hidden).

Is there a way to make sure that when a user clicks on X to close the application (in this case, Excel 2007), it closes/exits the properly?

Any suggestions?