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I didn't even thought of closing an app with the windows key before i read your comment.
But it makes sense in the Windows 8 mindset. The windows key is now the switch between the app and the Metro UI. You can't get to the Metro UI using the Windows key and tab.
When you are in an app, go to the left bottom corner and click on start you go to the Metro UI.
3 years, 3 months ago on Hands-On With Windows 8 on the Desktop: A Confusing Jumble of UIs