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I believe if you just close the window, your session is still logged on remotely on the computer. As mentioned, eventually it will time out and disconnect automatically since it will be idle for X minutes.
If you type 'exit', it logs you off and kills your session on the remote computer. Lets say you SSH onto a computer that has a lot of users on it. It's best to exit and log off so that you free up resources and space on the remote computer.