[alkonaut]

Keeping the application running when the last main form is closed is a Mac-ism enabled only by global application menu. It has benefits and drawbacks, but it's pretty clear that without it there is no intuitive way to do that.

I can assure you that I repeat the fumbling you describe but the other way around on mac. It's just two different UXes and which operations they allow (or can be intuitively done) will differ because of some fundamental earlier choices such as e.g. how many mouse buttons the user can be expected to have, or whether a program can show a global menu.