Exactly. In the scenario of closing all open documents and then creating a new one, it prevents the awkwardness of having to keep that last document open to keep the menubar available so you can select File > New and
then close the last document. It also means you don’t have to invoke your app launcher again after closing all documents since the app is still open.
Conventions being different than what one is used to (in this case, Win9X) isn’t necessarily bad. Additionally, this particular convention has been on macOS for most of its existence, which means there’s longtime Mac users who find the Win9X way just as awkward.
