The application automatically stops when the last Stage is closed. At this moment, the stop() method of your Application class is called, so you don’t need an equivalent to setDefaultCloseOperation()
If you want to stop the application before that, you can call Platform.exit(), for example in your onCloseRequest call.
You can have all these information on the javadoc page of Application : http://docs.oracle.com/javafx/2/api/javafx/application/Application.html