The close button was removed from the proof viewer with the recent migration changes. Our team finds this to be a valuable tool to maintain efficient workflow and would like to request that feature be added back.
I submitted a ticket as it's not there with us in any of our environments and had it confirmed by Adobe that it is a feature that is no longer supported. I was directed to submit a feature request and they would perhaps look at adding it back in the future.
For those who are currently using the New Home experience, Workfront did recently deploy a fix mid September to allow for Proofs to open in a new browser tab. This will be the new expected behavior versus having the X close button in the upper right corner of the proofing window.