It's just a different set of expectations. The original versions of the Mac OS should almost be thought of as a multiple-document interface. Consider the web browser you're reading this in. You wouldn't expect closing a single tab or window to quit the whole application, would you? That's really what was going on in early Mac system software. Go to infinite-mac and open Mac Paint on a System 1.0 machine. It becomes very obvious when you open the app, and all of the Finder windows and desktop icons disappear.

This is only confusing in comparison to Windows though. If you used graphical DOS applications, it was the exact same experience. You open the app, and can interact with your documents, but closing a document doesn't necessarily close the app.

Even Photoshop on Windows of the day worked the same way. When you opened Photoshop, a parent window would open that was the app. Closing documents left the app open, unless you also closed the parent window.