Of course this isn't new to Firefox 4, this is part of the same old thing that they keep trying and failing to fix with every release. Likewise closing extra tabs still doesn't release all the held memory.
I still like it better than Chrome though, i've just about figured out how to put everything in Firefox 4 back to looking like Firefox 3.6 (tabs on the bottom, status bar restored, etc.) Along with not letting my do that Chrome also tends to be slow and clunky if you leave it alone too long (as in will freeze my computer for five or ten seconds when i switch back to it.) So i'm still sticking with Firefox for most pages and just use Chrome any time i want to view flash videos (although for some reason it won't play official music videos on YouTube, even though i'm not using any script blockers) or forward a link to my phone.