Not sure about Discord, but for Teams and Slack, there is no difference between clicking the X button, hitting Alt+F4, or accessing the Window menu (hard to do)

Not sure about Discord, but for Teams and Slack, there is no difference between clicking the X button, hitting Alt+F4, or accessing the Window menu (hard to do) and selecting Close from there; which is not surprising, as Alt+F4 is the shortcut for the Close action, which is the equivalent of the X button by convention.