Hi there. You may be one of those wizards who hit the big X at the top-right corner to log your wizard out.
This is bad for a few reasons, and a couple of things can happen.
1. Your wizard does not disappear. Trust me I have tested it with many friends. Your wizard is there in the place, but you cannot control it. Neither can anyone else, unless you log back in.
2. Your wizard will be there, but it cannot be clicked on. Your wizard is going to be there regardless. Sometimes it can be clicked on, leading people to believe you are either afk, lost connection, or are ignoring them. If you are on their friends list, then you will remain. However sometimes you cannot be clicked on. Interactions around you cannot be done(see below).
3. Your wizard can still be activated by things around it. If you are playing tag, you can be tagged. If you are in a mob field, you can be pulled.
All of these problems can be avoided if you go to that character selection screen and hit QUIT!
Heh, it never occurred to me to hit the red x to quit. I've always gone through the process you just described. Seems to me this is a glitch that really should be fixed by KI though.
You do know that after a while your wizard will disappear. Me and my brother play and it's not a big deal. The only time i click "Quit" is when i am in battle, but that's rare because i tend to avoid getting caught by monsters as soon as i log back in.