I recently swiched from Windows to MacOS.
On Windows, whenever I have tabs or documents open, when I hit the close button ST exits immediately and next time I open ST it restores all my documents.
On MacOS, when I hit the close button ST asks me if I want to save my document… for each modified document.
If you want to close the whole application, use the “Sublime Text > Quit Sublime Text” menu item, or the ⌘Q keyboard shortcut.
MacOS makes a clearer distinction between actions applying to apps or to their windows. The red close button is part of a specific window so applies to that window only. A running app is represented by its menu bar at the top of the screen, and does not necessarily need to have any windows at a given time.