Hmm... kind of strange and logical at the same time I guess. Just kind of unusual to override a Windows hotkey, I suppose.
Last second thought: You can also double click the top left of FARR (where the icon would be) to close it as well. That might work better if your hand is on the mouse and it is faster... depends on the situation I guess. Figured I would point out that it works even with the skinning system, though.