Home / Exit when I close the last tab

if I close the last tab I would like the exit of sumatraPDF
where is the setting?

No such setting and the current behavior is by design as the dev himself has mentioned:

To close the last tab, so it does not just close and default back to the start screen

then you have to close the session using Ctrl+Q (Quit) or windows equivalent Alt+F4,
if its only one tab open, unlike two or more, it will not get opened on next opening.

If you enable close on escape that will also close everything instantly, however some users don’t like that active by default.