When the user chooses to exit Phex, the application should enforce say max 30 seconds of grace time and send bye messages to connected peers that accept such messages. gtk-gnutella (gtkg) does that in an elegant way: a new window bearing a close button pops-up and shows the countdown of remaining grace time. If the user wants to exit, he or she can still close that window.
Although not critical, the upside is obvious: other servents won't see a connection disappear, wait for the timeout and whatnot but they'll know that the copy of Phex they're connected to is closing the connection. If it's not too hard or time consuming to implement (my understanding is that it shouldn't be but hey, I'm no coder), this would be a nice addition. I mentioned the idea in the previous feature request about increasing the delay before getting promoted to ultrapeer I had posted nearly a year ago, but I thought it made sense to create a ticket for it.
PS: There is a summary about bye messages on <http://www8.cs.umu.se/~bergner/thesis/html/node44.html>
Screenshot of gtkg's bye message window, it may give an implementation idea.