Hello,
Sorry to hear you are having trouble.
I don't see a "Close Window" option, only a "Close all windows on this display" (And when using a single monitor, I get "Close all windows" instead) option, which simply closes the program and all of its windows'. I honestly don't know if it's a Windows problem
That has been mentioned in a prior thread and yes, it's a Windows thing as Win11 has no concept of (thus no context menu for) broken-out taskbar windows.
2. The second problem is dead shortcuts on the Start menu, as shown in the 2nd photo. I can't make them go, no matter how many times I'll choose delete or uninstall (There probably is nothing left to uninstall). I'm guessing that some of them are leftovers from the previous Windows 10 (As seen in the 3rd photo, they lead nowhere, only to an error message. Please Ignore the circled HP shortcut, it's unrelated), but I just can't remove them.
Screenshots: https://imgur.com/a/WOokPpC
This all seem to be 'Modern Apps', thus, likely do not have a true 'open file\folder location' destination:

If it does resolve to an actual location where the file exists, delete it and see if that works.
Sean Drohan
Stardock Product Lifecycle Manager