If I load something into Sonar X3 in Fullscreen mode (using F11) and then exit, I end up with an empty project screen.
I would have to exit again to see the Desktop.
 
If I load the same thing with Fullscreen off and then exit, Sonar exits and I see the Desktop.
 
Anyone else see that?

Are you using the File/Exit command or are you clicking on the close corner (X icon on top right hand corner)?
 
In Full Screen mode the close corner only closes the current open window or screen.

Duh!!!
 
That's it.