Alright so in fact you’re closing your projects AND you’re attempting to close the hub by clicking on X correct. And so you’re left with the audio performance dialog somewhere. This is a bit of unusual border case but this is working as expected I believe then, you’ve basically closed all the windows but the audio performance. The problem is that this dialog on its own has no menu and you cannot go from there. A workaround is to close the audio performance dialog, then the hub will automatically reappear and allow you to move on with Cubase.
What I’m not sure I understand is what your intention is when closing the hub then? Are you trying to minimize Nuendo? In this case you should use the _ button and not the X button. Or also Window/Minimize All instead.