The Windows port behaves already like that in windowed modes (as Angelo
implicitly noted it when he was refering to the 'compatibility with the past'
and the two lines in win/wwnd.c).
I don't know when it was implemented, but I find this feature very convenient:
in my app, pressing the ESC key stops the show and causes the main menu to
display; in windowed mode (selectable at startup), when the user clicks
(intentionally or not) on the close button, the app doesn't directly terminate
but instead displays the menu.