To be clear, there are two different 'issues' here that would be good to keep separated.
1. Indication of what button (function) gets triggered when pressing [Enter].
Most programs I know of highlight the button that will be triggered when you press [Enter]:
MusicBee does not indicate what will happen when you press [Enter] here:
(spoiler alert, it will save and close, no confirmation pop-up)
2. Wording of the buttons 'Apply', 'Save', 'Close'.
Taking things very literally, wordings such as:
'Apply' doesn't say if it will leave the panel open, or close it while saving your changes.
'Save' doesn't say it will also close.
'Close' doesn't say if it will 'cancel and close' or 'save and close'.
(there can appear a confirmation pop-up afterwards, but the button itself doesn't clarify)
I don't believe the above issues are actually very problematic, and also I can't recall anybody else ever having mentioned something about this over all these years.
It's just something I observe and thought to throw in for some friendly discussion.
The argument I would make myself if I wanted to defend the current situation is that I do like the clean and uncluttered look of things.
I notice some other software (like two from the screenshot) have 'Apply' greyed out. That makes a lot of sense for when you opened a panel and haven't yet changed anything.
So perhaps some dynamic 'intelligence' added to these buttons could be a sensible improvement?
Maybe something like when you have changed a setting, 'Apply' gets 'un-greyed-out'™, and a 'Cancel' button appears?