Not sure about Discord, but this would be extremely weird behavior. The extremely clear convention on Windows is that Alt+F4 closes the currently focused window

Not sure about Discord, but this would be extremely weird behavior. The extremely clear convention on Windows is that Alt+F4 closes the currently focused window, not more, no less. Whether closing the current window should close the application or not depends on many things, but having different behavior between Alt+F4 and the window close button would be very strange.