On old versions of Winbox you could close welcome screen (the first screen before connecting anywhere) by pressing ESC key.

I liked that behaviour, could it come back?

Yes please!

Maybe require double-esc to escape from the terminal windows.   (Ctrl-esc is unavailable because M$ captures the combination for the start menu shortcut).

One of the annoying at first, but  *ss-saving features in Winbox 3.4  is that it requires control-letter to execute funcions;  which prevents bad stuff from happening in case something drops over your keyboard. Thank-you for that MikroTik!! 

I guess double-esc for each window would be a good compromise between safety and functionality,  preventing a long key-press from closing every window, but allowing for quick window-browsing. 

The only thing i didn't get is why Deleting stuff is still done by a single key-command. I get that people should have a trained mind to keep them dirty fingers safelly away from the delete key, but Ctrl-delete should not be too difficult to implement, and make all of the commands single-sintax. 

OP talks about the login screen of winbox not the windows inside winbox (after login).

On the old v2.x when you pressed esc on the login screen it would exit winbox.