You don't need to keep the Mac client app (/Applications/Indigo 6.app) running, but the IndigoServer app must be running (check the
Starting Indigo Server section of the getting started guide for details). The PowerLinc 2413U is not capable of running standalone (with no computer controlling it) - Indigo must be running it at all times. This also means that you must leave your Mac running 24x7.