I find it very annoying to always have to aim for the small cross at the upper right. Is there a shortcut to close the editing window? If not, this would be something worth changing. Either create a bigger cross or a shortcut.
Typically Alt-F4 closes the current application and Ctrl-F4 closes the current window. Applications are free to alter these functions as they see fit. For example, Netscape uses Ctrl-Q and Ctrl-W respectively.
Alt+F4 will close a topmost floating window in Vegas. Since it will otherwise close the application, I personally avoid using it.
New in Vegas 4, Alt+<number> for opening windows will also close them if they are floating and topmost. However, the plug-in properties window doesn't have an Alt+# accelerator, so that's not going to help much, sorry.