The test program below is not called back by GHC.ConsoleHandler when the Close button is pressed during the threadDelay call. A message is written to console_event.log as expected when Ctrl-C or Ctrl-Break is pressed, but not when the Close button is pressed.

import Control.Concurrent (threadDelay)
import GHC.ConsoleHandler
import System.IO

onConsoleEventReceived :: ConsoleEvent -> IO ()
onConsoleEventReceived event = withFile "console_event.log" AppendMode $ \ file -> do
  hPutStrLn file $ case event of
    ControlC  -> "Received Ctrl-C event"
    Break     -> "Received Ctrl-Break event"
    Close     -> "Received X button event"
    _         -> "Received other console event"
  hFlush file
    
main :: IO ()
main = installHandler (Catch onConsoleEventReceived) >> threadDelay (20*1000000)

The host OS is Windows XP SP3.

Please let me know if you need any more info.