What that means is that you did NOT exit OBS last time you ran it.
You want (most likely need) OBS to be able to run in the background. You just need to remember to turn it (and other apps) off (ie exit/close) when not in use
If you do exit OBS, and you still get that OS notice, that most likely means OBS is crashing, usually due to a 3rd party plug-in
Window's Task Manager will show if OBS (or any other process) is still running or not.