Prior to build 3059: when closing the last file, the window would then close (hooray). After build 3059: closing the last file, nothing happens. Feels like it might be related to this item in the 3059 changelog:
When the last file is closed, a new transient file is created automatically
I can't think of any other OS X app that has this kind of behaviour and it feels terrible. Hitting Cmd+W should close files then the window (like any other app in the OS X world).
If you tend to have multiple windows/projects open then you can't quickly close the ST window anymore. Either you need to use the mouse or another shortcut key.