For me the temp folder is created in the directory to which I have the environment variable CALIBRE_TEMP_DIR set, which is C:\_Calibre\Temporary.
If you were to set CALIBRE_TEMP_DIR to the Library folder that would result the temp folders appearing there, when you run the GUI is a temp folder created in the same directory. Probably not a good idea to use the Library folder as a place to store calibre's temporary files. If you run Check Library it would report calibre_eph8hd as an orphaned Author
And you're right, the folder isn't removed when the server is closed. Possibly because Windows does not allow calibre servers started via cmd.exe to be terminated 'gracefully' . One of Kovid's posts in one of your other server related threads suggests this may change with calibre 3.0.
BR