Because that’s what a Windows User expects as a default behavior.
Apart from some Apps that I like to have in the background (e.g. Skype) I don’t like those that just go and hide when i “close” them. It feels weird on Windows (unless I can configure the App that I really want that).
Thank you Wayne. Now I have my small icon in the notifications area 
Jürg : Fine, regular apps behave that way. But the IDE is destined to savvy users who may like not to wait two minutes each time they load a project. The Windows IDE is already painfully slow as compared to the Mac one, anything that can speed it up is welcome.
At any rate, since it is possible to set that in preferences, it’s fine with me. I can be more productive, and frankly don’t give a damn about what the Windows user should expect, when it is my own workflow.
Regular Apps such as Visual Studio
Savvy users such as you will explore and find the option(s) - so enjoy your Tray Icon!
It’s always good to have the choice - and I like it that Xojo respects (some) default/expected behaviors on each OS.
As much as I’d like to use the “don’t auto-quit”, I’m more productive without it. But that’s because of the size of some of our projects - it crashes the IDE after a couple of DebugRuns. For that reason I prefer a “clean start” when loading a project (otherwise I might not even be able to debug-run once, when other projects have been loaded/run in the same IDE-instance). Clean meaning that I launch the IDE via a .bat Script, which will first clear the caches 
But again: great the we both have the choice to do what fits best our needs - even if they are completely different.
Visual Studio. Ha ! Such a mammoth. One of the guys from the team who develops the Desktop App Converter recently confided VS takes 15 Mb in the Register alone !
Talking about Sloooow…