Seems to make sense, given "Open wallet". I just moved the *.wallet, *.-\d+.wallet and *.info files around, and restarted MultiBit, in order to get a wallet closed out of the UI, so not a huge priority.
Yeah, I've been thinking the same thing - and getting reports from my bunch who like to open a wallet peek at it and then put it away again.
Closing a wallet also entails : when you open a wallet, automatically catching up the blockchain for that particular wallet. This is a planned feature.
This should appear in the forthcoming MultiBit 0.5.9beta
Now available at https://multibit.org/releases (SNAPSHOT currently but will migrate to release candidate -> live release after more testing)