I can not see the harm in having a flag that creates the dialog without the [x] in the corner, but i would definately insist on 1 condition. Using the flag to hide the [x] should NOT render the [esc] key unable to escape out of the dialog.
I know there are other ways people could render a dialog unclosable, but they would require more effort, and to be honest i really dont see much of a reason somebody with mal-intentions would choose to spend their time on such a trivial thing when they could just do whatever they intend in the background.
