To be honest, we really don't know whether the OS takes care of it or not. Developers claim a lot of things, few of them are ever true. BTW, do you know which other OS says you never need to close apps and the OS would take care of it all? That's right, Android.
A more practical reason is that there's limit number of apps in the switcher and I want certain apps to be there instead of being pushed off the queue. This is especially true since wp7 can't seem to figure out an app is already opened. For example, while drafting a message, I click home button to do something else. Open messaging again, the draft is gone. Except it's not really gone, if I use task switcher to switch back to the original messaging window, the draft is still there. wp7 is simply too stupid to figure out the app is already opened. And of course, after opening 5 apps, my carefully crafted draft is gone for ever (or maybe it's still stored somewhere on disk, just not accessible). Nice multitasking.
Your stated scenario is very misleading, since it's your own fault. Tapping a tile on the start screen or an app from the app list ALWAYS starts a new instance of the app, killing any previous instances. ALWAYS.
It was a conscious design decision on Microsoft's part so that phone users always know that if they want to start an app over at the beginning, they can simply hit the Start button and then start the app again.
If you want to go back to your messaging screen where you have already been typing a message, you have to tap and hold the back button and select it.
It may not be what you want, but it's consistent. It works that way for every single app.
As a developer, I can assure you that what Microsoft says regarding Fast App Switching is absolutely true. I can see it happen with my apps when I'm testing them on my phone ... I can watch my app go into the background and wake back up when you go into the app switching screen and tap it. I can see my app taken out of the back stack and completely closed when I open a bunch of other apps.
I use Exchange services, watch video podcasts, browse, etc. on my Samsung Focus on a daily basis ... i.e. I'm a heavy user. And I make it from 8am to midnight EVERY SINGLE DAY without running out of battery. There's absolutely no reason to worry about app memory/processor management. Windows Phone does it right. Use your phone, don't worry about it.