Unloaded event not called on Window when app closed

* .NET Core Version: 3.0.100-preview7-012821
* Windows version: Windows 10 16299
* Does the bug reproduce also in WPF for .NET Framework 4.8?: Yes

**Problem description:**

When window is closed with the close button in the title bar, the `Window.Unloaded` event is not called if this is the last open window of the application. This is inconsistent behavior as the event is normally called for other windows.

**Actual behavior:**

`Window.Unloaded` does not fire

**Expected behavior:**

`Window.Unloaded` should fire.

**Minimal repro:**

```
public partial class MainWindow : Window
{
public MainWindow()
{
InitializeComponent();
this.Unloaded += Debug.WriteLine("Hit");
}
}

```