As Greg has just pointed out:

"Alt+F4 is a standard binding for closing windows as would be done from
a close button on a window frame. Because in an SDI that doesn't leave a
blank window there is no difference between that close and File->Close
and because Control+W would conflict with Emacs' binding, the
recommendation was changed from Control+W to Alt+F4 for that item.

"When the window manager catches Alt+F4, the app doesn't. When File->Close
is selected from the menu the app does. There's no way for the app to tell
if the frame button was clicked or if Alt+F4 was pressed, and so there's
no way to tell if the window should be withdrawn or just a blank document
left.

"Changing File->Close to Control+W is probably the simplest solution.
Console- and Emacs-philes will certainly object, but the Emacs-like
keybindings now require a theme preference anyway."