I heard a while back they use your computer as a connection point to other Skype users. That's why I chosen not to use it over my 3g connection. Probably not true, but would make sense in this case to make it difficult to quit!
Skype does use p2p and if your computer/connection is good enough they will even make you a supernode.
This is normal behaviour for chat programs, no? Perhaps not the dialog box.
The one that kills me on OSX is it nags you on shut down. That is a huge aggravation of mine anything that interrupts seamless boot-up or shut down.