From what it sounds like, closing an app is now a two step process. Close the window of the app first, then File - Quit / Cmd+Q.
Yes, you're right. However, it will only automatically load documents which you haven't saved to a particular location. In most instances, command-Q is all you'll need to do.
It should be noted that Apple wants you to perceive closing apps as unnecessary, which is why there are no indicators on the dock by default. If you're done, close your window; if OS X detects an app that has no windows open and isn't being used, it will quit it automatically (for some apps, at least; its behavior seems to be a bit erratic and inconsistent at the moment.)
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