Sametime 7.5 has new functionality which shows you at the bottom of the chat window when the person you are chatting with closes their window, thus ending the converstation. In previous versions you’d never know and just keep the conversation going, unaware the recipient had closed the window. So my etiquate tip would be to ensure you close the conversation in the chat before closing the chat window.
Addition to original post
Steve made an excellent comment.
“my tip would be slightly different, when you really need to end a conversation you need to explicitly close it, however when you receive a windows closed notification, assume only that the other person has nothing more to say – NOT that they are not open to you continuing to say something.”
I think the real answer is that organisations need to consider how users will react to new functions and ensure that guidance and information is available.