I have had the problem that, for example, after exiting Galciv3 I can't immediately exit Steam because it claims Galciv3 is still running. But it only lasts a short time (couple of minutes? haven't timed it carefully). Similarly if I try to exit Galciv3 and then immediately restart, same thing. I haven't had the issue with other Steam games (and I have a LOT) so it is rather curious, but at least in my case it is of short duration and doesn't seem to cause anything other than a minor annoyance.
Obviously, I can't say if this is the same thing you are experiencing. I also am curious whether others have seen this "delayed exit".