if there's a setting to restore the sleep-on-close behavior

Yes, there is. To restore Snow Leopard behaviour just run the following command in the Terminal while the external monitor is disconnected and reboot:

sudo nvram boot-args=iog=0x0

I've just used it on my Lion – works like a charm.

 
If you ever want to reset it back, either run the following (and reboot of course):

sudo nvram -d boot-args

or just reset your PRAM with ⌘+⌥+P+R if for some reason you can't boot.

if there's a setting to restore the sleep-on-close behavior

Yes, there is. To restore Snow Leopard behavior just run the following command in the Terminal while the external monitor is disconnected and reboot:

sudo nvram boot-args=iog=0x0

I've just used it on my Lion – works like a charm.

 
If you ever want to reset it back, either run the following (and reboot of course):

sudo nvram -d boot-args

or just reset your PRAM with ⌘+⌥+P+R if for some reason you can't boot.

if there's a setting to restore the sleep-on-close behavior

Yes, there is. To restore Snow Leopard behavior just run the following command in the Terminal and reboot:

sudo nvram boot-args=iog=0x0

I've just used it on my Lion – works like a charm.

 
If you ever want to reset it back, either run the following (and reboot of course):

sudo nvram -d boot-args

or just reset your PRAM with ⌘+⌥+P+R if for some reason you can't boot.

if there's a setting to restore the sleep-on-close behavior

Yes, there is. To restore Snow Leopard behaviour just run the following command in the Terminal while the external monitor is disconnected and reboot:

sudo nvram boot-args=iog=0x0

I've just used it on my Lion – works like a charm.

 
If you ever want to reset it back, either run the following (and reboot of course):

sudo nvram -d boot-args

or just reset your PRAM with ⌘+⌥+P+R if for some reason you can't boot.