For closing tabs and windows with shortcut key macOS standard is that the current tab is closed and if window has only one tab, the window is closed. Brave used to work like this.
For the last several versions of Brave has divided closing tab an closing window to two separate shorcuts, deviating from all the correctly working Mac applications. It’s like they hate muscle memory and platform conventions.
I don’t expect them to fix the now broken usability, it’s been going on for long time. But they should give us a preference to restore proper macOS shortcut functionality.