It annoys the hell out of me. I can't remember any other program that is running on the background that do that. Skype, utorrent, icq, irq clients on my machine all minimize to tray when i press 'X' in the upper right corner, and some of those don't minimize to tray when i press '-'.
Please make HM2 minimize to tray on pressing X, with option to close it in right click on tray icon popup menu.