I have the same issue. In 2015 Enterprise
CloseOnPlaybackCleanup = false works on BrowserWindow but not on any other windows application.
In 2013 Premium, it even closes BrowserWindow. So, I'm unable to find a way of leaving your application open after completing a test.
I tried to search a lot of forums and it looks like a bug in VSTEST/CodedUI, you'll find people using TestInitialize/ClassInitialize but those are applicable till your tests in the class are
running once tests are finished the application under test is killed at the end, so nobody is giving proper answer.
More or less this one line of code "CloseOnPlaybackCleanup" is not doing what it's expected to do when running from Visual Studio or invoking test from command line but works with MTM
without even using this.