The default configuration in Plasma is to open in the system tray with the icon hidden.
Open: Application Launcher > KGpg > Show Hidden Icons (located next to the digital clock) > KGpg.
Close: File > Quit.
Selecting Close (the X icon in the title bar) does not close KGpg, it closes the window.
OPTIONS
Open in the system tray (icon not hidden): Application Launcher > KGpg > Show Hidden Icons (right click) > Configure System Tray Settings > Entries > Application Status > KGpg > Select Always Shown (in the drop down menu) > Apply > OK.
The icon will now appear in the system tray when the application is running.
Open outside the system tray: Open KGpg > Settings > Configure KGpg > Misc > Applet & Menus > System Tray Applet > Show System Tray Icon (select checkbox, this will remove the check) > Apply > OK > File > Quit.
The window will now open by selecting Application Launcher > KGpg.
The application can be closed by selecting the X icon in the title bar.