The X appears only if the mouse hovers over it. Is there a way to make it visible, place it in another position or even enlarge it?
You'll have to edit the contents of Rdio Style.xml for that. (/MusicBee/Plugins/TheaterMode.list)
Search and locate "CloseWindow" inside the xml file. That should take you to line 231.
To make X visible, add an fg attribute to the element (adding fg="255,255,255"
will display the x in white).
To enlarge it, increase the value of the size attribute. It's currently set to 10.
To change its position, play around with the following xAnchor="Panel.Right" x="-22" y="4"
Inside the ReadMe file in the same directory mentioned above should be a detailed explanation of how TM elements work.
But feel free to ask further if you still need assistance.