Like where does it tell me to use any of those keys?
Like in Help > Keyboard shortcuts. It's not done yet but will be done for the upcoming release.
Why can't they just have an X in the corner like nearly every other window??
Because your window manager chose not to allow them to. Most other window managers (like the default ones of Gnome and KDE) don't remove the decorations from transient windows. Complain to your window manager developers, or search its configuration - it may have a switch for configuring this.
Please change
<group id="transientpolicy" value="1" />
to
<group id="transientpolicy" value="0" />
in your ~/.inkscape/preferences.xml and report if this fixes the problem for you.
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