I can confirm that the issue is related to a known bug. It can be reproduced only with the Kendo UI Less Themes, and is caused by the pointer-events: "none" style that is applied to the .k-icon class for the respective themes. This is logged in the Kendo UI GitHub repository and you can start tacking the progress that we make on it from issue #3927
In general, the recommended approach is to attach the click event handler to the button element (the <a> tag) and not the icon(.k-icon-x). This can be achieved as follows:
"Custom action button clicked"
We will modify the Window Actions Demo, so that the above approach is incorporated in the example in order to prevent confusion in the future.