I have W10 Home, v1703, 2012 Dell Desktop. I checked my Dell this evening, opened couple tabs with Roku forum & W10 forum, clicked the corner X, got the box like above, checked the always close all tabs box; then clicked close all. I started EDGE again and opened same two tabs, clicked the corner X, and Edge was gone. Did a computer Restart; opened 3 tabs, Roku forum, W10 forum, bass boat central forum; clicked the corner X, and Edge was gone.
So it does work. I just upgraded to 1703 few days ago, and haven't had time to do anything special to my Dell.