I'd like an option to close/terminate the program when clicking the X in the upper right corner. Instead of having it go to the system tray.

Very much agreed.
Upper right, X in box, has always been Windows close program.
Programs that don't follow the proper expected OS standard behaviour, is actually a fineable offence, due to case law precedents set when Microsoft had their Windows 10 ads download the pre-install of Windows 10 on users systems when users clicked the X in the upper right of the ad, to terminate the ad program.

An option, definitely. Steam and most other launchers do the same thing.