Obviously the programmer of this help window meant that pressing the X button directly on the window frame (or any other remote window element, because you have not told us which operating system you are working with) is an irregular closing of the window.
But... Lazarus is open source and free of charge, so you can definitely get involved and programme another help window and make it available to the community.
So far it seems that the community has not classified this behaviour as a serious bug.