Yes for me the issue (or intended behavior as some say)started when I updated to "Opera One" (version which has a loud welcome sound when browser starts)
Before that for a good period of time even only one browser windows was closing with last tab closed. I was rly surpised that noone experienced this, but looks like I am no longer the only one in this topic who is missing that behavior.
Maybe it was some bug with "invisible window" opened previously and my main window was closed as second browser window etc... Anyway I would like to have a setting in Opera to close browser window with closing last tab. Please let me know if there is some special form to submit to developers this kind of suggestion / feature request