Hi Rhys,
The thing about "Close" buttons is that they're a con job.
After all a window isn't really "closing" all that's happening is that you are "going" to some pre-determined page.
The "close" button is really just there so users, used to a Windows interface, have something to click on.
Usually the menu is still visible at this point, so they don't really need to close, they just need to select an item from the menu.
If you do have a Close button then it _attempts_ to go somewhere useful. In this case, clearly, it's not getting it very right (and I'll look into that to see if it could be a bit "smarter". But either way, you have the ability to direct it to wherever you want it to go.
On the General tab, set the "Url on Save" to be the page that the user should go to when they click "close" (often it's the Index page, but clearly it's up to you.)
Cheers
Bruce