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Whenever I use the .close method the connection doesn't actually close. Only thing that seems to close it is when the application itself is terminated. Any suggestions?

This behaviour concerns connection pooling, when you call .close method a connection isn't not closed but added to the pool. When you open a connection is drawn from the pool. You can read about using connection pooling in the documentation for MySQLDirect .NET and MSDN. If you need to disable connection pooling you should add parameter pooling = false in your connection string.