empathy can be running without a visible UI

Jon, If you are not using indicator applet in your panels then you see an icon of empathy in the notification area. not a bug

I do not see an icon for empathy in the notification area. I've just added a new notification area to confirm this.

I've just checked to see what happens with no notification area or indicator applet: without either, empathy disappears in just the same manner as already described.

Go to edit>preferences>notification there untick 'show incoming messages in
the messaging menu'

With no indicator applet, this causes empathy to draw an icon in the notification area.

so the bug can be restated as:

With no indicator applet in gnome-panel and with the default options set (i.e. "show incoming messages in the messaging menu"), on clicking the 'close' button on the empathy main UI, empathy will remain running but without any visual indication it is doing so.

Suggested solution:

When deciding whether to draw an icon in the notification area, take into account both the "show incoming messages in the messaging menu" preference and whether or not the indicator applet is running.

Additionally:

When there is no indicator applet nor notification area loaded in the panel, the behaviour of the close button should change. It should either exit the application (as per HIG), perhaps prompting the user for confirmation (since this is not the usual behaviour) or minimize the application (functionally equivalent to "docking" the app in the notification area or indicator applet, and the behaviour chosen by MSN messenger in Windows 7)

Jon, remove indicator-applet from panel, logout and login again and you will see empathy icon in the notification area(even if empathy is set to use messaging menu in preferences). Though it would be great that as we remove indicator applet empathy should show its icon in the notification area.

For the point that if the user in not using notification area and indicator applet at all that would be an upstream issue. I will open an upstream task now and link it here. Thanks

Reported upstream https://bugzilla.gnome.org/show_bug.cgi?id=617065 you could subscribe yourself to that bug report and if possible please comment with your suggestion there