YUP - ChrisNZL - bingo. I couldn't figure out why I kept *instinctively* hitting ESC. Having the @#$%& note closed without so much as a warning is always so jarring, I could never remember the reason I'd hit ESC in the first place. It's to de-select some selected text, or to close the search bar I'd invoked by hitting CTRL-F, or whatever. Casually hitting (even spamming) the ESC key to back out of whatever ancillary operation(s) you've invoked and return to the primary use-case of your application (in Evernote's case, TYPING ON A NOTE) is instinctive for many Windows users, and for users who thrives on keyboard shortcuts and fluency through them, having the effin note window closed constantly is a jarring reminder that Windows seems to be an afterthought for Evernote.
ALSO, for the folks saying "Outlook does it". No, it does not. I mean, YES - it most certainly does close an open email window by hitting escape - but try opening a window where you are actively TYPING something (e.g. hit reply to an email and start typing, compose a new email and start typing). When you hit escape, if you've made any changes, it 100% asks "Are you sure" before executing the close. This is the problem with Evernote's approach. I can be typing a note, I absolutely want to *continue* typing a note, and I hit ESC to back out of selected text or to close some ancillary modal experience I don't want anymore (Find bar, Attach files window, whatever), but if I've hit ESC one too many times, the whole go#d@mn note window itself is closed and I have to go find it again with (ugh) my mouse.
Obviously asking "Would you like to save" (which is what Outlook and any other windows app does) doesn't make sense for Evernote, since (thankfully) there is no save action to worry with; but maybe simply asking the user "Are you sure", or making an option to do so...and making the option the default for NEW Evernote for Windows user accounts...so the next generation of Windows Evernote users doesn't even know this was ever a problem.