For reference. this is what the Preferences window looks like at time of posting: https://i.imgur.com/9uqoZei.png
Signal Version: 1.35.1
Operating System: Windows 10 Pro [Version 10.0.18363.900]
EDIT: wording
The close button issue is in particular super anti-intuitive.
Thanks for reporting this.
The best place to discuss feature requests is on the community forum, but I've marked this as a feature request here for the dev team.
Alternatively, maybe there could be a floating, translucent reminder anywhere that says "Press Esc to close," which would sort of solve the X issue – at least to my personal satisfaction, anyways.
Most helpful comment
The close button issue is in particular super anti-intuitive.