That we _can_ close using the Windows X isn't a question in my mind. Alt-F4 works as well, etc
I'm just been around long enough to be inclined towards 'Trust but verify' so until confirmed, it would be naive and silly for me or any other end-user to assume equivalence between X and Exit ... I get this is probably _not_ a big deal.
Microsoft does not (that I'm aware) require/insist/whatever App developers to follow the same application shutdown process between File > Exit and Window Close ('X'). that using X didn't cause problems for some users does NOT mean _ALL_ OBS Studio users follow same/similar workflow, plugins, etc, so one can NOT assume similar outcome UNLESS a developer on that aspect of code, or someone who has reviewed the related code, says on way or the other
The question, for those of us with enough experience to recall clean vs not-so-much applications Exits, is whether OBS Studio's Control Dock 'Exit' and the Window 'X' initiate the same closedown... or if there is a meaningful end-user difference (as would relate to saving settings, changes, plugins, etc). If there is no difference, then great... just nice to have something authoritative published for end-users documenting that there isn't a risk to what has historically (for Windows OS) been sometimes a less-graceful/thorough/identical shutdown method.