Whatever the reason, they're wrong for us power users. And possibly for intermediate & beginners users as well.
Then again, I'm not doing web development, so I'm not trying to cycle between my editor and one particular browser window.
I don't think it's a power-user vs. beginner issue; it's more of a workflow style issue.
For example, chat is mostly fine. I'm either switching between multiple chat windows or mentally switching from chat to another task in which case I have no problem switching out of the whole chat app.
The same setup goes wrong when one chat window is for work, and I'm going back and forth with another non-chat work window.
For me, it's a better default to switch entire applications than windows. There are edge cases, sure, like the chat one you mention, or different browser windows, but I'd rather just switch from Excel to IE to Outlook than have to tab through my history of open documents and browser tabs (curse you IE) to get back to my Outlook window.
It sounds like for you, it's the opposite: the better default would be to switch windows, not apps.
The question then is which is the most common pattern, but I don't know of any actual research on this. You can't generalize from personal experience, plural of anecdote and all that.