User can still close the game window when the "Allow close" option is set to false. When unchecking similar options (such as allow maximize) the buttons are no longer available.
Expected: The window would not close and/or the button would not be visible
Result: The window closes and the close button is still visible/available
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-45522 in the post.