On macOS, you can already close all windows without exiting an application, so Discord does not violate any established convention. (Clicking the red traffic-light close button does not usually close the entire app; Cmd+Q does.)
On Windows, there is no concept of applications at all, only windows. Perhaps you can try to mess with processes, but there's not even any mechanism for activation of a process that would even allow it to begin to work in any way similar to macOS's model.
So yes. Closing all windows, on Windows, is widely assumed to terminate the associated process. This is why apps like Thunderbird, for example, close entirely when you click the X, and only actually go to the system tray when you click minimize.
Interestingly, with Discord on Windows, Alt+F4 completely closes the entire app. The close button is implemented by the webpage, however, and closes to the system tray instead of actually closing the window.