I guess I don't understand how is this window supposed to close. Is it closed automatically or is it closed by player?
In any case, if you call this.GoExclusive(), it does several things. It pauses the script until the player closes the window. It displays the window in exclusive mode. That means, the window makes everything else underneath the window inaccessible.
In your code, the script is terminated before it even reaches the GoExclusive line (your CloseThis() function unloads the window from memory, which effectively kills the script).