Why does closing an application with the X icon leave it running in the dock?

It's not a behaviour you can change, so forget about it.

I think the idea is that for apps that are strictly one window (System Preferences), clicking the red X will close it entirely. For apps that can/do use multiple windows though, you're best to simply hit COMMAND+Q if you want it closed completely.

It's just one of those little things you have to get used to.

 

you can use system preferences program called "Stoplight" using this program you can change the windows default behavior from Mac OS to Windows.

 

This is the way Mac programs have always operated, so I guess Apple keeps it that way so that the users don't have to change their working habits. Most programs will sit there quite happily waiting for you without taking much in the way of resources. I tend to leave most things running in another Space just in case I need it, only closing Web browsers on a regular basis.

It's a bit different if you're coming from another OS, but once you get used to the way OSX handles mutliple programs and realise there's no real performance hit it's not anything to worry about.