The work order is closed as soon as you press the Close button. After that, MainBoss opens the window where you can add closing information (e.g. closing comments). However, you'll notice that this window is titled "Edit Closed Work Order"; this helps remind you that the work order has already been closed.
If you accidentally select the wrong work order and click "Close", you can "un-close" it by clicking the "Reopen & Save" button in the window that lets you enter closing comments. This may be a bit confusing, but so many of our customers wanted "Close" to close the WO quickly that we decided this was the best compromise.