With the pen tool, hold down the cmd key (idk which one it is on windows) and drag the last node on to the first one. It will snap to join and close the curve.
Hi @Javier6754 and welcome to the forums...
This can be achieved in part by apply a pressure curve to the stroke...
Variable Line Weight.mp4
Agree this would be a nice addition to speed up workflows... though simply assigning a keyboard shortcut to the corner tool e.g., C makes for a pretty speedy workflow as well... I guess some of this is getting used to a slightly different way of working...
Curved Corners.mp4
Simply clicking the first node of your shape when using the pen tool will close the shape without any additional intervention (the pen cursor shows a small circle to the bottom right when in close curve mode) though I assume you're more referring to closing open shapes? Again you can apply a keyboard shortcut to the Join tool e.g., J, so when you've created your open shape using the pen tool, Cmd (Ctrl) A followed by J makes for a reasonable and pretty fast workflow...
Breaking shapes can be achieved using the Knife tool and deleting sections of a shape or curve by holding Ctrl with the Node tool selected and clicking the section between two nodes, you will see a red cross to the bottom right of the Node tool...
Close and Cut Curves.mp4
I don't know if any of these suggestions help but they've what I've adopted and personally I find they make for a pretty fast workflow... I'm sure others will have alternative ideas and suggestions to add to the mix...