Qt calling close() closes the MainWindow instead of the dialog window - c++

Question

In my sample application, the MainWindow closes instead of the dialog window. Why is that and how do I change it?
I've tried setQuitOnLastWindowClosed() but it didn't have any effect.
When clicking the x in the top right corner, the dialog window closes and the MainWindow remains open as expected. But that's of course not what I want.
MainWindow.h:
#ifndef MAINWINDOW_H
#define MAINWINDOW_H
#include <QMainWindow>
#include <QDialog>
#include <QWidget>
#include <QPushButton>
#include <QHBoxLayout>
class MainWindow : public QMainWindow
{
Q_OBJECT
private:
void on_mainWindowBtn();
void on_closeBtn();
public:
MainWindow(QWidget *parent = nullptr);
~MainWindow();
};
#endif // MAINWINDOW_H
MainWindow.cpp:
#include "mainwindow.h"
MainWindow::MainWindow(QWidget *parent)
: QMainWindow(parent)
{
QWidget *mainWindowWidget = new QWidget(this);
QHBoxLayout *mainWindowHBox = new QHBoxLayout();
QPushButton *mainWindowPushButton = new QPushButton();
mainWindowPushButton->setText("Open Dialog Window");
mainWindowHBox->addWidget(mainWindowPushButton);
mainWindowWidget->setLayout(mainWindowHBox);
this->setCentralWidget(mainWindowWidget);
connect(mainWindowPushButton, &QPushButton::released, this, &MainWindow::on_mainWindowBtn);
}
void MainWindow::on_mainWindowBtn()
{
QDialog *newDialog = new QDialog();
QHBoxLayout *newHBox = new QHBoxLayout();
QPushButton *closeBtn = new QPushButton();
closeBtn->setText("Close Dialog Window");
newHBox->addWidget(closeBtn);
newDialog->setLayout(newHBox);
newDialog->setModal(true);
connect(closeBtn, &QPushButton::released, this, &MainWindow::on_closeBtn);
newDialog->exec();
}
void MainWindow::on_closeBtn()
{
close(); // closes the MainWindow but not the dialog window
}
MainWindow::~MainWindow()
{
}
main.cpp:
#include "mainwindow.h"
#include <QApplication>
int main(int argc, char *argv[])
{
QApplication a(argc, argv);
a.setQuitOnLastWindowClosed(false);
MainWindow w;
w.show();
return a.exec();
}