Yeah, I realized my post was a bit Mac centric. In OS X, there's an explicit UI difference between closing a window and quitting an application. Most applications remain running even after you close the last window, so the two actions feel separate. I think the latest versions of Processing will stay running after the last window closes (which I'm planning to port over to Arduino).
On Linux and Windows, though, I realize this distinction doesn't really make sense and so the current behavior is confusing and should be changed.