Irrlicht.Net is no longer developed or supported, Irrlicht.Net Cross Platform is a much more complete wrapper. Please ask your C# related questions on their forums first.
May I overlooked the method which enables recognizing the closing of a GUI Window. I'm using the .NET library and I'm not able to find the closeButton() method for the IGUIELEMENT. Unfortunately a IGUIWINDOW doesn't exist
You should be able to set the ID in the parameters when you create the window... and the use the getElementFromID Function... if it returns 0 the window is closed... at least thats how c++ works with it...