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I agree that it seems strange that the Dock icon badge is displayed only when OmniFocus has at least one window open. Is there some design reason for this or is it just an oversight? Is it something that will be changed in a future release? I'll be sure to send feedback to Omni Group on this.

In the mean time, another thing you can do is just hide the app (Command-H or OmniFocus->Hide OmniFocus from the menu bar). The advantage of this method is you don't have to individually minimize each window (all app windows are hidden together). Also, hidden apps don't take up any extra space in the Dock, as minimized windows do.