I don't know if this should be considered a bug or a feature request, but some of the PB windows do not respect the usual shortcut keys for closing windows on a Mac.
In particular, I've noticed that the Preferences window and the Properties & Attachment windows do not close if you press Command-W or ESC. I even played around with various Windows style shortcuts to see if perhaps PB just wasn't using idiomatic shortcuts for the Mac.
PB 220.127.116.11-b | Mac OS X 10.6.1
The windows that open for entering a Thought do at least respect the ESC and ENTER keys for dismissing them.
Where Command-W would especially come in handy is with the Properties & Attachment windows. With the ability to assign an accelerator to quickly open that window for a highlighted thought, it would be just as nice to be able to quickly close it when done.