This is a MacOS thing - an app is not just windows, it is also a menu. The windows can all be closed and the menu is still there. Apps that don't behave like that feel like they are not proper Mac apps. As a seasoned Mac user, cmd+Q is your friend.
I'm a few macOS versions behind what's current, so it's possible things have changed, but historically in OS X/macOS your description applied to apps that could have multiple windows. Any app that could only have one window—for example, System Preferences—would quit when the one window was closed.
System Preferences (especially the iOS-ified version) breaks a lot of rules. The "classic" version is really similar to the System Prefs in Next/OpenStep. The classic version was a single document interface, and it used a back arrow to go back a level. The new one has more persistence IIRC with the list down one side.