It certainly doesn't load on boot (edit: because I manually changed the setting - shouldn't have to and all that, but that's the way it is), and I always exit Steam when done playing a Steam game, and it no longer appears in my running apps or processes lists.
Well, I dont see Steams loading at startup a problem. Most applications will be coded to load on startup (atleast on default), this is because the designers want you using thier programmes. However at least Steam is one of the better programmes that lets you disable the automatic load up (some programmes are nicer and don't load on start up as default, you tick a box to have it load on start up). At least Steam isn't one of those bad programmes that signs itself to load on start up but doesn't give you the option to disable this, I currently use a combination of MSConfig to stop a lot of programmes running on start up, but MSconfig is hyprocritical and will load up on start up each time so long as you disable other things, the exact thing you are trying to avoid is additional things loading

, so I use spybot's registry editor to disable MSconfig from loading, and with the two I have the bare minimum loading of what I have on the pc leaving only what I want running all the time. This is Steam/MSN/AntiVirus/Windows Stuff.
Yes if you right click on the Steam icon in the task bar you can choose exit and shut it all down. Again some software don't allow this feature either stopping you from exiting unless you ctrl+alt+delete and do it old school. Some people complain about the fact that its sent to the task bar if you close the window on your desktop, I don't see this as a bad thing, a lot of programmes either have this as default or as an option atleast, as it allows you to "de-clutter" your desktop without quitting a programme. Sure Steam could have given this feature a check box too, but Steam is supposed to be an always online programme that allows you access to an online community and access to your games library, it doesn't work efficiently in providing you with the Steam experience in offline mode or when turned off.

, but you can quite easily exit the application on the task bar. This is where I turn off most of my programmes because they use the task bar to "live on" as it were.
As a matter of fact, any Steam game started while Steam is not running will start Steam and try to log-on.
You are mistaken, Steam will not try to log on, i.e if you are connected to the internet it will log on to Steam online mode. I speculate this is what you were reffering too.
When a game is started if Steam is not running it will try to load Steam and if you last used it in offline mode it will ask you if you want to run in online mode or offline mode and thiers also a little X which I assumed would cancel the loading, it infacts just loads offline mode and loads the game lol.
Re-reading your post you could have meant "Steam will load and auto-log on to your account" this is true, unless you dont have Steam save credentials, but if you were last in offline mode you can stay offline. This is the important infromation people trying to avoid auto-patches and such and looking for.