Reproduction:

1. Open Main window, create and open connection.
2. Connection window opens with DB collections, etc.
3. Close Main window.
4. Close connection window - app quits.

Instead on step 4 Main window must be auto-reopened as per Mountain Lion/Lion UI design guidelines - apps in OSX generally closed when user presses cmd+q, not when all of their windows are closed (for example: XCode, Mail, Safari).