Vlad If you compare it to Safari, it works like Safari. Upon closing the last tab Orion will close the main window.
However, that's not what is being asked by people. What is being asked is to add a checkbox at "Orion > Settings > Tabs" named "Close window when closing last tab"
Behaviour:
When the checkbox is checked (true): Orion main window closes upon closing last tab (current behaviour)
When the checkbos is unchecked (false): Orion main window will not close upon closing last tab. But rather open a "new tab" with the "Start Page". (Similar behaviour on mobile Orion / mobile Safari).