The Type cover for the Surface Pro 3 is a little different than your regular laptop keyboard.
The function keys dim and brighten the back-light on the Type cover and open Windows functions such as Search, Sharing, Devices and Settings (amongst other things).
This can be pretty helpful – depending on what you are doing – but this default configuration means that one of my most used keyboard shortcuts Alt + F4 is not available.
The first solution is to just use Fn + Alt + F4 instead.
Otherwise pressing and holding the Fn key and then pressing Caps toggles the functionality of the top row of keys on the Type cover so that you can use Alt + F4. This is a toggle though – once you can use Alt + F4 you have to toggle back to use the default (pictured) functionality of these keys.