Unfortunately, I have discovered, the new wording is better but only correct for IDLE when Shell is the only window.

On the file menu, I want to:
A. Change 'Close' to 'Close Window', so it is clear that 'Close'/Alt-F4 only close the window and not IDLE.
B. Also change 'Exit' to 'Exit IDLE' or maybe 'Quit IDLE', so it is clearer that this and Ctrl-Q close all windows and exit IDLE.  Ctrl-Q is the default binding for 'close-all-windows', which users can configure.

Also, add a little in the doc entry for these choices.  Or maybe open a separate issue to add the option name for all menu entry hotkeys that can be rebound.  I don't know how many that is.

For a single window app, like the REPL, when not running in Command Prompt or the equivalent, closing the window and exiting the application are the same thing.  The same is true when Shell is the only IDLE window.  Closing Shell exits IDLE.  After submitting the PR, I discovered that exit() and quit() only close Shell but do not exit IDLE if there are other windows.  So the message should really be something like the following:

To close Shell, enter 'exit()', 'quit()', or 'Alt-F4'.
To exit IDLE, hit 'Ctrl-Q', hotkey for 'File >= Exit IDLE'.

This requires replacing the __repr__ method.  Someone who rebinds either hotkey option, which I expect is rare, will have to remember that they did so if that happen to enter either 'exit' or 'quit' without parens.
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The question of IDLE on Windows and <^Z Return> was discussed some years ago on an issue a vaguely remember but could not find.  It was decided to either not add it or maybe to remove it, and key cross-platform ^D for closing Shell (and only Shell as it does nothing in Editor).  I don't want to change that decision.