Unlike a Frame, a JFrame has some notion of how to respond when the user attempts to close the window. The default behavior is to simply hide the JFrame when the user closes the window. To change the default behavior, you invoke the method setDefaultCloseOperation(int). To make the JFrame behave the same as a Frame instance, use setDefaultCloseOperation(WindowConstants.DO_NOTHING_ON_CLOSE).
For more information on content panes and other features that root panes provide, see Using Top-Level Containers in The Java Tutorial.