[c#] How to properly exit a C# application?

I know this is not the problem you had, however another reason this could happen is you have a non background thread open in your application.

using System;
using System.Threading;
using System.Windows.Forms;

namespace Sandbox_Form
{
    static class Program
    {
        private static Thread thread;

        [STAThread]
        static void Main()
        {
            Application.EnableVisualStyles();
            Application.SetCompatibleTextRenderingDefault(false);

            thread = new Thread(BusyWorkThread);
            thread.IsBackground = false;
            thread.Start();

            Application.Run(new Form());

        }

        public static void BusyWorkThread()
        {
            while (true)
            {
                Thread.Sleep(1000);
            }
        }
    }
}

When IsBackground is false it will keep your program open till the thread completes, if you set IsBackground to true the thread will not keep the program open. Things like BackgroundWoker, ThreadPool, and Task all internally use a thread with IsBackground set to true.