[Joel]

You cannot use the line tool to close and create a shape -- This behavior has not changed at all since version 1 of OmniGraffle, lines are designed to connect shapes to each other and create relationships.

That said, you should use the Pen Tool to create custom closed shapes that can be filled with color and/or images, it allows bezier control handles and the like.

I don't know what you're referring to about a "step backward" from version 4 (at least with regard to the Pen Tool and creating custom shapes), we have made no modifications to that functionality in version 5.