Get a project with j2ee facets (tested web) with local application servers configurations (tested Tomcat 5, Glassfish 9.01).
Run local configuration.
Do Close project. Get a prompt to disconnect with running process, with option to terminate that process or not.
Set Not terminate. Press Disconnect.
Result: local app server is terminated anyway.
Works the same in 7364 and 8043.
For regular java process (with main method) the option works: the process is kept running.
It seems that app server is just a java process, why to terminate it?
On the other hand, if this termination is inevitable, disable the option in prompt dialog to not confuse users.