Why doesn't Ctrl+F4 work in Notepad++?

I don't actually know why it is set to be Ctrl + W but to answer your other question: To change the default tab closing behaviour, go to Settings > Shortcut Mapper. Change the Close shortcut [8] to Ctrl + F4

By default, Ctrl + W will close the current window. Notepad++ is not a Microsoft product, so it shouldn't be too surprising that it doesn't follow Windows 'conventions". If you go to Settings -> Shortcut Mapper you can change the Close function to map to whatever key combination you would like.