No window/app closes with Cmd-W.
Cmd-Q is not the right shortcut for a single window as all windows are collected under one dock icon, so Cmd-Q should always quit all KiCad windows/apps.
This is probably not how it is done on windows and linux but on OS X, KiCad is already behaving as a single application with multiple windows (except for gerbview...), so I think shortcuts should behave accordingly for consistency with most other applications.
A shortcut which should not be overriden by KiCad is cmd-h, which is a system shortcut to hide the current application.
Another shortcut that is overridden is cmd-a (starting pcb calculator) which should select all text in a text field (does work sometimes but sometimes start pcb calculator).
Please add version info