> 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][1] with <kbd>⌘</kbd>+<kbd>⌥</kbd>+<kbd>P</kbd>+<kbd>R</kbd> if for some reason you can't boot.




  [1]: http://support.apple.com/kb/ht1379