Normal windows conventions are that when you click the X, in the upper right hand corner of the window, the program exits.
Ummm, kinda, sorta, but not really - maybe.
That is, "normal" Windows conventions is NOT just one way of doing things. Instead, "normal" conventions allows for different options/behavior, depending on (1) the program, (2) if the program normally or frequently runs full time in focus or in the background, and (3) user preferences.
For example, your real-time security programs run full time, typically in the background. If you were looking at your real-time antimalware program's control panel, you would not want the X to close/exit that security program, leaving you vulnerable. You would want the X to minimize the program (perhaps to the System Tray) and/or move to the background instead.
But if you were working on a Word document, for example, you might want the X to close Word (assuming it prompted to save any open documents first, before actually closing - which it does).
If you look at your MailWasher again, when you maximize, the Maximize icon changes to this:

- MWP Max Icon.JPG (9.78 KiB) Viewed 2417 times
Note the box is now outlined with another box. So you just click it again, and again to go back and forth.
Or, change your preferences as rusticdog suggested.