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Actually, there's yet more depth to that close button behavior; I stopped where I did just to keep things short!

You hit upon another aspect of its behavior: the way that, for example, Mail will "re-spawn" the Mail Viewer window when you activate Mail from the Dock, even though you had earlier closed that window. I believe Safari and many other apps will similarly create a new window when activated, even though you had early closed all windows.

It's a matter of human logic: the programmers thought through the scenarios, and decided that someone who goes out of the way to click on Mail or Safari most likely wants to interact with the program in the usual way – that is, wants to see a Mail Viewer window or a browser window.

Again, it's possible to think of contrived exceptions: "No, I don't want a browser window, I want to close all Safari windows, go to another app, then use the Dock to go back to Safari, and then open its Preferences, all without seeing another browser window!" For that user, it'd be nice if Safari would indeed keep its windows closed until specifically directed, via the menu, to create one again.

But the programmers decided that such an oddball user's wish has to take a backseat to the newbie who's closed all his Safari windows and, not hep to using the menu to create a new one, forlornly clicks on the Dock thinking "What happened to my Safari?" It's these real-world "likely situation" scenarios that bring many of the quirks we know and love (?) to our software – at least, to good software by developers that actually think through such issues.

It's a big topic for later, but I'll note here: I often hear newbies told that they have to "learn to think like the computer" to master the thing. That is so wrong. The key to mastering a computer is thinking like a human – specifically, thinking like the human programmers who designed software behavior in response to expected human user behavior (and let in a dash of the programmers' human failings, too). That's the way to grasp computer mastery.