As a counterpoint, I have used Macintoshes since 1987 and it's always bugged me.
Particularly because of the inconsistency -- Control Panel (now System Settings) has always quit when you closed its window, but most other apps don't. (While QuickTime maddeningly acts both ways, depending on what you've done in the app.) I can't tell you how many times I ask myself why the heck Activity Monitor is running in the dock, only to realized that I closed the window rather than quitting it.
Having a GUI application, in a windows-based environment, run without any windows is just weird unless it's a background utility or something. Conceptually I've just never been able to get used to it.
I'm very happy that a lot of applications have moved to a single "master" window with documents living in tabs (e.g. Sublime, Photoshop, etc.), than the strange "menubar with no windows" app state. (Made even stranger by further inconsistent behavior where, for example, if you close all TextEdit or Terminal windows, it's in menubar-only mode, and then switch to a different app it's running in the background, but then if you tap the running TextEdit or Terminal in the dock it mysteriously makes a new window. Huh?)