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I was always wondering,is this something normal or there is something wrong here(I have the same problem on ePSXe).
If I don't enable the console,the only way to exit the emu is by pressing Esc(even if I don't use full-screen)and exit from the X on the GUI.If I press the X on the game window,the window will close but the emu will still work in taskmanager and I have to kill the process.

Well the X button when you're playing a game is the window of the graphic plugin not the emu itself I think, yes it is normal

You can enable the options "Exit on window close" or "Send Esc on window close" on lilypad if you want them to behave differently. You could also enable "Esc hack" in the speedhacks options if you want to close the emu with the Esc key instead.

What I just do is: in-game I just press ESC to take me back to the Pcsx2 menu and then press the X on the window. That'll close it.