Hi Vinay
You can check whether ADAConnector is running by ps -ef | grep ADAConnector.
When you exit the shell, its going to close that process associated with that shell will be ended too.
You could run it in the background by creating cron job or with ./ADAConnector & command
<INSTALL_HOME>\ADAExtensionForAPM$./ADAConnector &
Thanks,
Yanna