This looks intentional, I have Zorin Core and closing Rhythmbox just closes its window letting the actual audio track playing in background. You can easily stop it by clicking on date and time tray, hover over the playing audio track container and click 🗙. Note that you may see 2 containers, the first one is to play previous audio track, pause audio track and play next audio track while the second one is to reopen Rhythmbox or close the audio track.
Can you please tell me the issues you had?