This is expected right now. The only case where Steam will exit when the last window closes is when the last window is closed by a WM_DELETE_WINDOW request from the window manager. We haven't made a final decision on what to do in cases where app indicators are disabled or non-functional (assuming there's some reliable way to determine that, which there isn't currently).
Nothing extracted yet.
When I start Steam, Friends window (only) pops up. When I close it, no other Steam windows are present, but Steam is still running and does not terminate.
Gnome Shell 3.6, I'm not using libappindicator. System info: https://gist.github.com/f91695cbc471769b849d