First of all fix the tags on your post please. Current version means Dynamics 365 for Operations, which behaves completely different from AX 2012 which is on your screenshots, so we could give you the correct answer.
The only way I could think of to remove the close functionality is if you edit the WinAPI class by implementing the method calls for GetWindowLongPtr and SetWindowLongPtr, with which you could disable the Close button similar to the C++ examples explained here:
stackoverflow.com/.../disable-x-button-icon-on-the-top-of-the-right-in-messagebox-using-c-win32-api
https://msdn.microsoft.com/en-us/library/windows/desktop/ms644898(v=vs.85).aspx
Alternatively you could try to override the close() method on the form and remove the super() call.