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Exactly. I'm just used to Outlook and Notes (argh). So I was curious if there was a one key option. Is there?

Well you can use System Preferences->Keyboard & Mouse->Keyboard Shortcuts to create new shortcuts. The menu item you want is "Close". Unfortunately you can't set a shortcut to be Escape only, but you could set it to command-escape. Close, but no cigar I'm afraid.
 
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