One Window does not close files, just windows. What does Document>List Open Files show?
Also, if your 'Files per window' setting (Options>Editing>Editor Windows) is set to 'Multiple files share window', then you would typically only see new windows when you perform splits or create new horizontal/vertical tabgroups explicitly.
Finally, your 'Zoom (hide tabs) when one window' setting determines when the tabbar is hidden. By default it is set to 'Auto' which means it remembers the last zoom state. Since you performed One Window, the window was automatically zoomed and that was remembered.
++rodney