I found it a pain to see the Firefox window gets closed when I click the close button of the last tab.

When I use that same feature in SeaMonkey, it does not close the main window, instead it makes the tab empty.

Today I thought that maybe they had a flag in there to decide whether the main window should be closed or not and indeed they have:

browser.tabs.closeWindowWithLastTab

So all you have to do is change this flag to 'false' (the default in FF being true now) and closing the last tab won't close the window!

To change your Firefox configuration use:  about:config

To find the entry, enter "browser.tabs" in the filter at the top-left and hit enter.

To switch the value, double click on the word 'true' and it becomes 'false'.