It should be closed automatically if you're using the wrapper. I'll do some more testing with GeoConvert and the new tile sources, but it shouldn't make a difference.
I made some more tiles, and the ESC window does not close reliably when I use the Wrapper. I may make something odd, of course, but hard to tell what. As an example, I regularly minimize the GeoConvert windows. However, otherwise they always regain focus after a few seconds interrupting my normal work.
Until IPACS put some more time into GeoConvert, these issues with persist unfortunately.
I recall you begging for this for a year ... or longer? And it's certainly not rocket science....
Kind regards, Michael