Unfortunately not. I've tried to repro it here, but all to no avail. My suspicion at the moment, is that something else may be holding the process open, be it anti virus software, or something strange in winsock maybe?!
I'll continue to look in to this further, and hopefully we can repro it and fix this for a future release.
you don't have the WinGate Internet Client installed on that machine as well do you? Is it also the WinGate server machine, or are you connecting remotely?