On Windows, pressing Alt+F4 is supposed to close the active window. The SnagIt Editor window does not follow this behavior though.
Pressing Alt+F4 (Key Alt down and keep pressed, then also key F4 down) should cause the same action as pressing the "X" in the top-right corner of the window.
Thanks for your feedback, Rick and JL1!
I could figure out that it is possible to customize the keyboard shortcuts in SnagIt. Turned out that in all our corporate wide installations the "Exit" command just shows "Alt+" as associated shortcut. (No idea if it was a general SnagIt 12.4.1 issue or just an issue with our corporate deployment.)
Workaround via Menu->Options->Customize->Customize Keyboard Shortcuts->Editor Menu->Exit and assign "Alt+F4" as a new shortcut key.
I can confirm that the default keyboard shortcut config in v13 is already correct.