I think it changed at the time that it became possible to separate the main Cubase and Project Windows.
You actually can close it using one click, but only under specific circumstances.
If you have your Cubase and Project Windows combined (probably how most folks have it) like in this first image then you do need to click the circled control twice - the first will Close the Project and the second will Quit Cubase.
However it the Cubase and Project Windows are NOT combined like in the image below the the control circled in green will close the Project while the one circled in red will close Cubase itself. In this situation the red control behaves the same as Ctrl+Q and will close both the Project & Cubase.