Bump. This is really bugging me. Mac diehards will harp on about it not being the mac way to quit when a window is closed, but surely it makes sense with some programs? And obviously apple agrees with me... consider system preferences. It has no need to be opened in the background, and so quits automatically. Preview should be the same. It's the same with dictionary. Little utility apps you will not need when they are closed. Calculator. Font Book. iSync. Airport Utility. It would not be unusual behaviour.
Anyway, I can't change how apple does things, they are often inconsistent, all I want is some sort of hack to make this happen. That little preview icon bugs the hell out of me.