It would be a nice option to be able to middle-click connection window tabs to close them (and maybe title-bars if they aren't tabbed?).
I guess the option could live under Preferences-->User Interface-->Window options.
Since it's just a general usability feature, I don't place a lot of emphasis on it.
For TeSSH I will give some more thought to this. In CMUD, I didn't want to make it that easy to close windows, since that would log you off the server and potentially cause problems. But for TeSSH I can see the bigger need for better session tab management and I might add some more options for close buttons and features like that.