I did, and the little icon at the top remains for an instant after you leave HRA. The problem of the activity/active HR/Exercise remaining running happens not only with HRA, I see it happening with HeartView if the complication is set to monitor heart rate, and Cardiogram. I think the problem is with the iOS update to 12.1.4, as the problem didn't exist prior to this phone upgrade. I have no idea what "they" did, but it's still happening. Try it yourself, download Cardiogram, (I believe it's free), set it as a complication, and watch your activity/exercise rings soar.
The ONLY HR complication that doesn't do this is the native one from Apple, and that one sucks.