And I agree it’s different from all the other operating systems, once I understood why it made sense.
For example, I can copy an image to my clipboard, and open Preview. No window opens, but the top menu bar shows that Preview is open. From there I can choose the “new from clipboard” entry. It’s just a different model of interaction.
Conventions being different than what one is used to (in this case, Win9X) isn’t necessarily bad. Additionally, this particular convention has been on macOS for most of its existence, which means there’s longtime Mac users who find the Win9X way just as awkward.
The visual UI element to close does not close. Instead you must click File->Quit or CMD+q.
These are not intuitive and must be learned.