@laiz Yes — Vivaldi allows this out of the box:

…and Firefox can be configured to do this with the Select After Closing Current extension (which sadly doesn't work in Orion).
Most IDEs like RubyMine activate left, too — it seems to just be browsers (and VSCode, which is Electron-based and so inherits browser behaviour) which activate right. I can't get my head around it; it's just confusing and wrong to me, and programs that don't let me configure it are much more difficult to use as a result.
Additionally, even with Orion's current behaviour, it seems wrong when closing the rightmost tab in a window. If I have tabs 1, 2, 3, 4 with tab 4 active and I press ⌘W, tab 1 is now active. I would expect Orion to not wrap if there isn't a tab available to the right of the current one, thus leaving tab 3 active.
Of course, the equivalent if the option I've requested was enabled would be closing tab 1 and having tab 2 become active rather than tab 4 — in other words, rather than wrapping around, it should just go the other way. Again, that's how non-browsers do it.