Re: Exiting the IDE will terminate the following processes
I can still reproduce this as of v3.40 The popup message also says, "<projectname> (Build, Load, ...)". From there I noticed the same "<projectname> (Build, Load, ...)" and a progress bar at the lower right of the IDE. In the progress bar, it says, "debugger halted".
So, I pressed the "Finish Debug Session" (the red square) button, and now it exits without complaint. It almost makes sense, since exiting with debug code left in your device will keep it from running. You can reprogram the device to run normally, and there's nothing left running to prevent MPLAB from exiting.
Some Web searching taught me that this is all an artifact of the IDE's netbeans engine.