Consider that, with your proposal:
1) If you had a single Finder window open, then closed it, focus would get stolen by whatever other application happened to have a window open.
2) There would be no way to use the keyboard to interact with an item on the desktop without first closing or hiding every running application.
Truth be told, the desktop is already a kind of weird folder that is obstructed by all other windows, so I wouldn't really care about those types of inconsistencies. So for the first case, I wouldn't mind if closing the last finder window would jump to the next app in the tabbing order as if I quit it. The second case is a bit more tricky, but I think it's should be a matter of focusing only if I click on the desktop specifically and not in any other case, eg tabbing or closing other windows.