Depending on certain circumstances, the use of close buttons in third-party courses do not always work to exit a window when launched in Absorb. If you're uploading a SCORM, TinCan, or AICC course that was developed in a third-party software program (such as Articulate Storyline or Adobe Captivate), this functionality will depend on how the window was originally opened.
In short, the scripts within third-party courses cannot close windows that were not opened by the script. Courses are launched in a modal window which is, "owned", by Absorb by default. Because of this, browsers prevent the course from having control of doing whatever it wants, including closing the window. This is a security measure of the browser to prevent malicious scripts from closing your window, or doing anything else that could harm your computer. In order to circumvent this, you will want to set up your lesson to open as a Popup in Absorb.
Below is a sample of a third-party course that was launched in a modal window. The developer tools in Chrome (F12) are displaying an error message in the Network tab that, "Scripts may close only the windows that were opened by it."