I can confirm HDSentinel does not close itself, except if you
- start installation of an updated version (the installer closes the running version)
- start uninstall (the uninstaller also closes the running version)
- use the automatic updater from File menu (or the updater scheduled to check for updates periodically)
In these situations, it closes correctly (the LOG shows when it closed and network connections closed (if were active) before starting the new/updated version.