What the X button does is to get a reference to the RadWindow object and call its close() method. When the content page is from another domain however, the browsers' security mechanism will not allow you to do that - otherwise it would be a major security hole.
the Telerik team
Do you want to have your say when we set our development plans?
Do you want to know when a feature you care about is added or when a bug fixed?
Telerik Public Issue Tracking
system and vote to affect the priority of the items.