QWidget doesn't close when main window is closed

I suspect you're looking for Qt::WA_QuitOnClose:

Makes Qt quit the application when the last widget with the attribute set has accepted closeEvent(). This behavior can be modified with the QApplication::quitOnLastWindowClosed property. By default this attribute is set for all widgets of type Qt::Window.

In this case, you should probably call:

myWidget->setAttribute( Qt::WA_QuitOnClose, false );