on *:CLOSE:!: is when a DCC Chat window closes, not DCC Send (or Get).
You can use 4 events:
[*] on GETFAIL
[*] on FILERCVD
[*] on SENDFAIL
[*] on FILESENT
Inside each, you could check to see if a $get or $send window to that nick is still opened and check its status. You could even close them through your script if you had a mind to do so.