I will start by saying that I have not fully internalized the MAC UI. However, It seems like when you click on the red "x" in many applications, the active document is closed in the application but the app stays in the dock. Sublime also does this behavior. However, with the default behavior, Sublime wants to close the active documents before doing so. What I would like is for Sublime to behave as though you did a cmd-Quit when you click on the red "x". if You have "stay in Dock" set (which I do), I can click on the Icon and be right back where I was. If not, I would use the app launcher to restart it.
I particularly like sublime on the PC because I can be working with lots of temp files (scribe sheets) without needing to name them. When I am done with a file, I close the specific tab. It is convenient to have sublime retain a working set of unnamed files from one session to the next.
Hope this helps explain how I am using sublime.