I open RDP sessions many times a day using the 'Microsoft Remote Desktop' app. I like being able to close them with the command w key combination.
Update since this still shows up in Google searches:
Newer versions of the Windows App do allow users to close windows with the "⌘ W" keyboard shortcut.
However, further questions and comments should go to the new feedback website like TaniaMariscal mentioned: https://aka.ms/app_WindowsAppFeedback.
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I second this idea! I especially want to close the "Connection Center" window with the "⌘ W" keyboard shortcut.
The weird part is that if you go to the "Window" menu bar item, it has an entry for "Close Window" with the "⌘ W" keyboard shortcut. However, it is always disabled.