When you are closing the client application (vncviewer), you are disconnecting from the server, thus the server session continues running. It might make sense to clarify this. Many other thin client products do.
Created attachment 462 [details]
Screenshot from mstsc.exe on Windows 7
Created attachment 463 [details]
Screenshot from mstsc.exe on Windows 7, english
The cancel button is also a nice addition. I don't know how many times I've accidentally hit Alt+F4 with the intention of closing a remote windows, rather than the client.