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As has been said X'ing out the window does 'only' that closes the window (the windows default action, nothing more).
And what action does Avast then take once the window is closed?
My thoughts on this matter (as an avast user), because you had previously selected Ask, in order to get into this state (Ask - awaiting a user input), if you X out the window, avast essentially would have been waiting for an input that didn't come. The file wouldn't be allowed to run and I don't know if avast would have taken the default action if Ask is your first Action.
Normally if you have Ask as a first action, you have two others, 2nd and 3rd - these additional options are usual If conditions - if option 1 fails, then option 2, if option 2 fails, then option 3.
I only have two options set - Ask (if fails) No Action. In doing this because you have set No Action as a 2nd action there is no 3rd option.
A lot would depend on the three (or even two) settings you have set, the order and what was actually being done, copy, execute, etc.
To get the avast to alert and capture the images I used the eicar.com file and copied from an excluded folder into a data folder - X'ing out of the Ask window resulted in the file being copied not placed in the chest. This isn't the same as executing a file in place (not copied) so presumably that file would remain in place not moved.
I did try an avast file, autsandboxme2.exe, an old file designed to test the autosandbox function (pre-avast10), unfortunately that triggered the Hardened Mode - so ended my little test.