Windows does, in fact, have signals. They're just not all the same as Unix signals, and the behavior is different. Here's a write-up.

You're correct there is no "please terminate but you don't have to" signal in Windows. Windowless processes sometimes make up their own nonstandard events to implement the functionality. As you mentioned, windowed processes have WM_CLOSE.

Memory access violations (akin to SIGSEGV), and other system exceptions can be handled through Structured Exception Handling.