This is how shells work; if you start a job from a shell, then exit the
shell, normally the jobs are all killed. If you want the job to outlast the
shell, use the "disown" command or the "nohup" command - I'll let you
check out the man pages for those.

I did not know that gnome-terminal is a shell...

So what if I start several applications from a gnome-terminal, and then,
noticing that the applications clutter up my screen, I quit the gnome-terminal,
and suddenly all my applications are gone (except good old xterm).

In other words, it is expected that the user remembers which terminal is the
father of which application?!

What is wrong with xterm's behavior which takes advantage of X in that it does
*not* have to behave like a shell?

xterm behaves exactly the same way as gnome-terminal
as far as I can see.

If you exit the xterm or gnome-terminal, then the child shell
is killed. Most shells (such as bash) kill child processes
when they exit. tcsh won't kill backgrounded processes; bash won't
kill backgrounded processes if you use the "disown" command.
bash also doesn't kill child processes if you exit the shell
using the control-D shortcut. This behavior has existed for
probably 20 years, and is certainly the right behavior
for shells not running inside an xterm, so I don't think
the shell maintainers will accept a patch to change it.

If you see a difference in how gnome-terminal and xterm
behave, I can look into that, but they work the same on
my computer, so I need more details to figure out why
they seem different on yours.

The "disown" command and the tcsh behavior for background
processes are supposed to solve exactly this problem,
so I would recommend taking advantage of those features.