This option closes the view window and removes it from the screen. If you have modified the image and selected the confirmation for closing modified images (available from the Options | Preferences - Confirmations settings tab), ThumbsPlus will ask you if you wish to save the modified image.
Otherwise, if you have modified the image and selected the automatic save option and did not pressed the escape key (ESC), ThumbsPlus will save the file and close the view window. If the above is true except you did press the escape key, ThumbsPlus will close the view window without saving your changes. The escape key will also close the image unless it is displayed full screen, in which case it is restored to a window, or if there is a selection, in which case the selection is cancelled.