Not sure on this, new to lightboxes, but I think the X is built into the functionality. In other words, when you ctrl click on all the slides for the Lightbox slide and choose "Preview selected slides", it will let you click on either the side menu tabs (no X to close) or the image buttons (show the lightbox with the X to close).
I'm not sure this X can be edited, but if someone knows how I'd love to hear it as well. I think when you choose the "lightbox" trigger element on any image button on the base layer, it is built-in. I can't find it anywhere on the supporting slides that display each lightbox.