Well, the native alt+tab does the sensible thing of going to the MRU window, where "Most recently used" means "most recently used that still exists". In other words, if a window is missing that just means the MRU list needs to be updated, but having done so the operation behaves normally.

What would you expect to happen instead?

If you close the activate window, it looks like the DexTab task switcher gets confused should you ever attempt to "switch back".

Explicitly, the scenario is:
0) set the setting for the DexTab component so that it initially selects the "last active window"
1) open a new window
2) close it
3) activate the switcher once to go to a previous inactive/minimized window
4) attempt to activate the switcher again.

The result after 4) is that the switcher activates and you see a list of all tasks on all desktops, but no task is selected initially. Since nothing is selected initially, activating the switcher hotkey once and releasing it will actually do nothing. If instead you cycle through tasks from this default state it will cycle starting at the top of the list. So, if you weren't working in "Desktop 1" then you probably will have long list of windows to get back to where you were.