I believe the distinction is that an application that allows multiple windows of a given type to be open (which includes most document-oriented applications) should stay open even if zero of those windows are open, whereas an application based on one particular windows (these tend to be utilities) can quit if you close that window. Perhaps in such cases the window itself should now offer a "close" button, but that leads to user annoyance.
But it's not always true. Disk Utility, for example, quits if you close the last window even though you can have many of them open.
This inconsistency is unfortunate because consistency helps ease of use by having applications do what the user expects them to do, and on this issue Apple has not made it clear that a consistent rule is followed.