This option doesn't do what it supposed to with Windows build 2083
I tried it in Global.sublime-settings with both directories Default and User and with restart - nothing changed
Check you're using Default.sublime-theme, and it's up-to-date (i.e., search Packages/Theme - Default/Default.sublime-theme for show_tab_close_buttons)
Many thanks. I use my own theme. Now I know where to look next time.