Welcome to the wonderful world of macOS ;-)
There are some apps that if you close their window it does indeed quit the application -- Disk Utility does this as does System Preferences, but those are the only two I can think of that behave this way (will try and do a little more research and post back any others I find later that do this). I suppose it's up to the application on what it does if the last/only user interface window closes whether it also quits, but it definitely is the exception, rather than the rule based on my experience. Which apps were you experiencing this behavior with??
HWTech has some good suggestions for keyboard shortcuts dealing with windows -- you might want to become familiar with those and some of the other common ones when working on a macOS system. See https://support.apple.com/en-us/HT201236 for many more and you can look at the System Preferences Keyboard pane then click on the Shortcuts tab for a rather exhaustive list (grouped by categories like Mission Control, Screenshots, etc) and you can even create custom keyboard shortcuts (not sure what happens if you create one that is already defined - maybe someone else can comment on that). I especially like the screenshot oriented shortcuts and the ability to save them in your choice of format (jpeg, pdf, png, tiff among others) as well as have them saved in a specific folder if you choose (the default location is your Desktop).
Anyway, I was in the same boat as you are now a number of years ago, when I decided to start using macOS systems, after using mostly Windows and Unix systems for many years. The learning curve is definitely something you need to climb up, but hope you agree that using Mac systems just seem more fun and there are so many things that seem easier to do or just more intuitive (but of course that is something you will decide for yourself over time) and easier to be more productive (of course there are those who say the same about Windows - but that is of course a very hotly debated topic among some ;-). Be patient and ask lots of questions and try and find a local Mac user group if you can and take advantage of the free classes that Apple stores and other Apple resellers offer, as well as these Apple discussion forums.
Welcome aboard and may you always have smooth sailing and steady breezes while you're sailing in the sea that is macOS ;-)
Good luck...