"""By default, your app is set to keep running in the notifications area even when the window is closed. Choosing not to leave the app running will remove the Slack icon and badges from your notifications area."""
On macOS, closing all an app’s windows ≠ quitting an application.
When you Command-Q Slack, it should close completely (which afaik it does).
Great, that is a platform that exists, that I bet has almost 10% of Slack's market share.
But that's normal for all apps on OS X. Closing their window doesn't mean quitting them. I'm not sure why you'd fault Slack for following the OS's conventions here.
To quit it, choose that from it's menu or use the cmnd-q shortcut IIRC.