I consider it a feature. Wget was designed specifically for downloading in the background; it catches the hangup signal to it knows not to write to the (now defunct) terminal. The idea is for downloads in SSH/telnet/modem sessions to keep running if the user is accidentally disconnected.
If I understand you correctly, you're closing the terminal by pressing the "x" button in the top-right corner while Wget is running. If so, why? Isn't it better to interrupt Wget by pressing ^C? IIRC many programs get confused if you cut the terminal from under them.
