The key point, I believe, is to always conclude your use of proc IML with a QUIT. Well, the fact that RUN can mean something different within the context of IML studio is important, too. (It doesn't always mean something different, e.g. within a submit/endsubmit.)

However, if you want to enter a "run;" after the QUIT then that is fine and it will have no effect other than to make you code structure look more regular/familiar.