We are in the process of upgrading to Exchange 2010 from Exchange 2007, and we did not install IE9 because of this. This is not really the end of the world, but it is pretty annoying. I guess it takes being an administrator full time to really see the effect and the lost time associated with this issue.
I also saw a similar issue when we were migrating from 2003 to 2007 a few years ago. We were moving about 10 mailboxes at a time, and in order to close any of the dialogue boxes, all moves had to be completed. I am not sure if this is related, and we were running IE8 at the time.
Sometimes it also acts pretty stubborn even when trying to force it closed with the taskmgr. This will be a nice fix to have. Thanks for acknowledging and addressing the issue.