With XP just only one window is closed (the right is all window's of chat be closed)
XP maybe has a self protection of crash in program (Microsoft do this)
in Win 9X and ME don't have this protection anti-crash.

If you don't put the event in remote and type /window -c =NICK .. both window is closed, ok ?
With that event in remote ( on 1:close:=:window -c =$nick ), only one window closes