If the process is terminated, all the OS resources, including network connections, will be released. In other words - that's fine.
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If the application ends, the connection gets closed, along with everything else that was opened.
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A SqlConnection is a disposable object. In general it is always good practice to Dispose() of objects that implement IDisposable. I also noticed SqlConnection objects have a Close() method. Should you call that too? Well, I found this article with more info on this:
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