Russian Qt Forum

app.setQuitOnLastWindowClosed(true);

bool QWidget::close ()   [slot]
Closes this widget. Returns true if the widget was closed; otherwise returns false.
First it sends the widget a QCloseEvent. The widget is hidden if it accepts the close event. If it ignores the event, nothing happens. The default implementation of QWidget::closeEvent() accepts the close event.
If the widget has the Qt::WA_DeleteOnClose flag, the widget is also deleted. A close events is delivered to the widget no matter if the widget is visible or not.
The QApplication::lastWindowClosed() signal is emitted when the last visible primary window (i.e. window with no parent) with the Qt::WA_QuitOnClose attribute set is closed. By default this attribute is set for all widgets except transient windows such as splash screens, tool windows, and popup menus.

Ты можешь дето выложить код?

#include <QtGui/QMessageBox>
#include <QtGui/QMainWindow>
#include "ui_test2.h"

class test2 : public QMainWindow
{
	Q_OBJECT
public:
	test2(QWidget *parent = 0, Qt::WFlags flags = 0)
	:QMainWindow(parent, flags)
	{
		ui.setupUi(this);
	}
	~test2(){};

private:
	Ui::test2Class ui;

private slots:
	void getNewItems()
	{
		QMessageBox::warning(0,"","");
	}
};

#include <QtGui/QApplication>
#include <QtCore/QTimer>
#include "test2.h"

int main(int argc, char *argv[])
{
	QApplication a(argc, argv);
	test2 w;
	w.show();

	QTimer *timer = new QTimer(&w);
	a.connect(timer, SIGNAL(timeout()), &w, SLOT(getNewItems()));
	timer->start(10000);

	w.hide();
	//w.getNewItems();
	a.connect(&a, SIGNAL(lastWindowClosed()), &a, SLOT(quit()));
	return a.exec();
}

app.setQuitOnLastWindowClosed(false);

This is actually a bug in Qt 4.2.3 which has been fixed for Qt 4.3.0.
If you upgrade to this version then it should resolve the problem for
you.

Поведение для меня очень странное, закиньте багу троллям и сюда её номер, будет интересно её отследить.