It works perfectly in Windows XP and WLM 2009 though....
Are you by any chance running Vista or Windows 7?
EDIT: hmmm, obviously because you are using WLM 2011
EDIT2: either way, what are you running? Vista or Windows 7?
Because I think it could have something to do with how WLM 2011 "minimizes" (or rather not minimizes for that matter) in the new OSs. The lack of the tray icon when you press the X (close button) is also related to this. It's how the new OSs work.
But yeah, I agree that the Event Viewer should at least 'mimic' the old behaviour in that case...
/ 
