Sigh,
I know I have seen this before and can't for the heck of it remember what the resolution was.
The application keeps running even though I close the only window. The Application.Exit event is not fired.
Unless Caliburn.Micro changes the Shutdown mode somewhere later than me, setting the ShutdownMode on the App does not seem to help either.
My hope is that one day, a nice answer appears here and we can all use Google to find this, apply, and be happy.
Caliburn.Micro doesn't do anything with the shutdown mode. If you want to post this in the official project forums and link to a repro, perhaps I can help you determine the problem.