According to Google, xyz.exe is either a virus or a Trojan.
Why are you running a known malware ?
More seriously, different executables have different characteristics when closing.
If you have a SPECIFIC program for which you need SPECIFIC advice, we need to know what that SPECIFIC program is.
Incidentally, I think your terminology is inappropriate/misleading in your first sentence :-
I wish to run a program that doesn't unload its exe from the services (in Task Manager),
I assume that what you really meant was :-
I wish to run a program that doesn't unload its exe from the processes (in Task Manager)
Task Manager will show under the processes TAB various running executables.
A large number are launched by "Automatic Services" before the user ever gets to log on,
Another large number are those present when you, the User, has "Run a Program".
A much smaller number are "Manual Services" which are possibly triggered by system events, or by your running a program that chooses to use a system "Service".
Clicking the top right corner of a Application Window will normally close the Application.
If a System "Automatic Service" or "Manual Service" is responsible for that Window we have a different ball game and different rules.
My only experience in this region was H.P. Printer software that was determined to use the Internet for some "Print to Web" feature.
I finished up by location the EXE responsible for the process and changing the extension to TXT.