I think alt-f4 closes the window while ctrl-q closes down Firefox entirely (in my KDE setup at least.)
On Windows ctrl-q doesn't work for me though.
As for why I sometimes use it it is because I can then do a restore session after restarting Firefox and get back everything.
(On Windows I have to find the now hidden menu and select Quit Firefox or something like that.)
I definitely think that this should be handled by the OS though.