Comment by simiones

An "app" in Windows has always meant a process that starts with a WinMain() function. And as I said in other comments, a single app could always create multiple windows using the CreateWindow() function, that could each be independently closed (though not by Alt+F4). Nothing stops Windows in principle from having a way to close the entire application/process on pressing some keyboard shortcut regardless of which of its windows is currently in focus - they just didn't ever implement one. They could have defined a special message that the application's main message loop can handle to gracefully clean up everything, and then made a keyboard shortcut that would post this message, they just never did it.