This is normal and as intended. If you want the music to stop, click Pause in the control app.
The Roon Server and the Roon Control app are two different things. The music shouldn’t stop just because the user quits the control app - or if the control app crashes.
This is the behavior that always existed when using a separate Roon Server, like a Nucleus. Since November 2023, this has been made the behavior in all-in-one installations too, with this update: