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.