If memory serves correctly, you can use this in your pages so that when they are closed it reopens the main form. This way, the main form must be closed to "X" the application. I went through this same thing a while ago and this solved my problems.
Private Sub Page2_FormClosing(sender As Object, e As EventArgs) Handles MyBase.Closing
AdvancedHMI.MainForm.Show()
End Sub