.. but ST2 will open the project into that new window created when you click on the icon, there's no need to close it first. And if you try to use the cmd-ctrl-p keyboard shortcut to open a project (as I imagine most ST2 users do), it won't even work without that blank window open.
EDIT: I take it back, it does indeed leave that new window open, my mistake. (I guess I just never have ST2 open without a window, I just continually switch projects by keyboard..) Maybe it would be enough for ST2 to behave as I thought it was -- just open the project into the blank window if there's been no activity it in yet.
EDITEDIT (err): ST2 does open the project into the current blank window if you use the keyboard shortcut, but not if you select from Recent Projects by mouse. (I'm on a mac btw.)