I havn't done any Symbian programming of my own, so what I'm about to say is pure speculative.
On most API, when the user take action to terminate a program (be it clicking the red "X" in windows, hitting ESC for an applet, pressing the END key), first thing the OS does is generate an "application termination event". It is up to the programmer to handle that event if they choose to. If they do nothing, program quits, but in most cases, the programmer will do stuff like, save user data, close connections, release resources, etc.
Now, if a program is truely meant to stay alive when the END key is pressed, the programmer should take action during the application termination event and keep itself alive.
So I wouldn't fault Nokia for this, it the programmer's job to listen to user and write codes that appeals to the public.