Thanks for reporting, this is a duplicate of https://github.com/ValveSoftware/steam-for-linux/issues/1025#issuecomment-12860675 (note i’m linking to the resolution of that bug).
In the future this will change, but its this way at the moment due to some window managers.
So when all the Steam windows are closed, the icon remains in the launcher, which in my opinion is a waste of space, if I can open Steam through system tray icon - similar as it is on Windows™.