The Windows Mobile Team Blog has a great post today about one of the most complained about features in Windows Mobile, the fact that applications never "close". On the Smartphone Edition of Windows Mobile they just sit there in the background, on the Pocket PC version you have an "ok" button that only minimizes the application. Want to close the application? On Smartphone Edition you can't, and on Pocket PC you have to navigate half a dozen menus to the task manager to do this.
I know as a power user this frustrates the heck out of me. I especially noticed it when I was using Verizon's Treo 700w, which only comes with 32mb of RAM. This was 6 months ago, so perhaps they have improved their management since then, but when it came time to close down apps "automatically", it would freeze my device up for two to three minutes. That my friends is not convenient at all. Still, I know most people are not power users, so it might make sense for them. Also check out the "I'm Just a Feature" post that is mentioned in this article.