I understand the part about continuing to play after closing the app - I believe that was the intended design. As Ron mentioned, you can stop it from the status bar (or by running the App again).
When you say it continues to play when you "go to choose a different airport", do you mean during the time before you actually push Play for a different airport feed, or do you mean after you start a new feed you still continue to hear the old one (or maybe both)? Because that would be different from the behavior I am seeing. But I still hear the first feed while I am selecting a second one - right up until the time I press the Play button for the new feed, then it switches.