Custom Window Message Exiting Course Instead of Closing

Hi!

So here is my problem. I have three actions on a page that each display a custom window message on click. I assumed that these would work like any pop up window, the user should click the red X at the top right hand corner and the window would close. However, when it was uploaded into our LMS (SABA) the course would close instead. I also tried to add a seperate Exit button to the page with the Exit Title/Close Window action. This also closed the course.

Does anyone have advice?