I will keep adding to this over time:
Also noticed if you ran a program shortcut to a bat file (in another directory, with Pause a tend) lets say from desktop that invoked CMD and ran various commands without "Exit" at the end that you cannot right click and close this from taskbar either. BUT if the .bat file was not a shortcut and had all the commands in it (on desktop -pause at end) , it would close with a right click.
There is a shortcut on my desktop called Event Log Explorer (free program) and that will not close with a right click on taskbar. The program is in the x86 program files directory. Now another program (free) called File Locator Pro (or Agent Ransack-free will close from taskbar. This program runs in the 64 bit program files directory. Hmm. Wonder if there is something related if program is 32 or 64 bit and run from a desktop shortcut that Start11 will not close if 32 bit. You can try these programs. Might be others. Not cramping my lifestyle but just bringing this up to you. **However in Start10 these all work and can close from taskbar
This shortcut on desktop will not close With taskbar: %windir%\System32\SystemPropertiesProtection.exe
Shortcut to Services will not close from taskbar either: C:\Windows\System32\services.msc
Shortcut to SYSTEM will not close on desktop
Shortcut to Windows Update on desktop will indeed close properly... ms-settings:windowsupdate