My %CPU just reached triple figures...
Ooh...sorry for the run-on. Let's try again, even though my Mail example sort of laid it out.
Let's use a Word window example. Say I've finished working on a document (and saved it of course) and I want to begin work on a new blank document (and I don't want the old open in the background). The way things work now, I can do the following:
1. Hit Command-W to close the current document. Word stays open.
2. Hit Command-N to open the new blank document. I'm good to go.
If apps always completely closed when you closed the last window, I couldn't do the above because Word would shut down after Step 1. I'd have to do the following:
1. Hit Command-N to open the new blank document, sending the document I'm done with to the background.
2. Now I need to close the background window. If I can see the red button on it peeking out from behind my new window, I can click on it to close the window. Otherwise I need to first bring the window to the foreground and then close it. Any way you do that it requires additional effort, like moving to the mouse and clicking on the window or in a menu, etc.
A word processing app is probably the most obvious situation in which you'd like to close all windows before opening a new one. But similar situations can occur in Mail, Safari and other apps.
This situation just doesn't arise in something like System Preferences where everything is in one window. When you're done with that window, you're done with the app, so it's fine for the red button to shut the whole app down.