This is typical when using the "Running Man" to Test your Application in RS Studio. It's just a reminder that you can use the "x" on your keyboard to stop the Application from Running. The Testing of an Application will also Shutdown after 2 hours of Runtime and will display a warning when time remaining gets to 4 minutes. After all it's only for testing the Application.\
As far as never running it does take some time for the application to open and it does not show in the Task Bar immediately after starting the Test.