“Close the application entirely when the last file is closed” setting under Session, closes ALL INSTANCES of the app after closing the last file in one instance.
I open all the documents in their own window. (Settings > Behavior > Open each document in its own window). Now after opening 3 documents in their own 3 windows is all very fine and good, however when I now close one of them with CTRL-W or from the X with mouse on the document tab, it closes all 3 windows 
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