Someone else brought this up to me a while back, but after more and more time on Windows Mobile, I've quickly come to agree. By default, when you close a window in Windows Mobile, the window is simply minimized. There are some situations when this just isn't good enough. For instance, I've visited a few web pages that were too big and would end up freezing IE and ultimately the OS. I can try to close the window all I want, but all that does is minimize it. So, IE keeps chugging along, filling up my memory as fast as it can, which will eventually kill the OS. Sometimes I can recover from this after waiting for a while, but other times I have to take the battery out to restart. This is very annoying. Beyond that, there are more simplistic circumstances where a user might want to close vs. minimize. Of course, this menas a new button has to be added on that small screen, but I think it'd be worthwhile.
There are so many times when I've wanted to see a new web page in Windows Mobile, but not leave the existing page. *sigh* If only Mobile IE had tabbed browsing.