Yea the little red button closes the window, not the application (see; close, not quit). Cmd+Q is your friend (or hold click the app in the dock and select quit from there).
Some red buttons have a darker dot in them, that usually means it quits the whole thing if you push it (or got unsaved stuff).
Red dot = unsaved work.
Never heard of it meaning that the whole app quits. Could you give an example?