Activity process does not terminate?
MacVim forks (spawns a new process) to launch external processes, but it waits for the external process to return before resuming execution. Thus, killing MacVim simply detaches the child process (your program) from MacVim and attaches it to the main process running, in essence, OS X on the whole.

You have to quit, or Force Quit, your program explicitly in order to kill it.

It's also very likely that if you kill your program, and NOT MacVim, you can continue using MacVim without issue.