Just discovered, accidentally, a facet of this little annoyance: it turns out that it actually closes the ?uppermost? window. In my case, I’d dragged the Content Browser into it’s own window and left it on a secondary screen, then I kept working in the main window. When I then forgot and hit CMD-W, the Content Browser window closed, but my main window stayed open.
Now, I don’t yet know if it’s the most foreground window, as the Content Browser likes to keep on top of other windows, or if it is the most recently opened window.