Normally, I close the tabs using CTRL+W. In Terminal, that does not work. Instead, I have to use CTRL+SHIFT+W. Why is that? Can I change it to CTRL+W?
This is because in the shell itself, Ctrl+W deletes the previous word. Tying this to an application action will cause a conflict.
I understand that the elementary Team has enabled Ctrl+C for copy, despite it conflicting with a shell action. But that is because it's easy to tell whether some text is selected (so copy it) or not (so cancel the current running command).
However, the same cannot work for Ctrl+W. There's no way to tell whether you mean to close the tab or delete the word.
Murky waters: That said, you should be able to compile a version of Terminal with your preferred shortcut, if you're sure you will never use Ctrl+W to delete words. (Haven't tested; take it with a pinch of salt.)