In Windows's window even if you don't hover on the close (cross) button it always stays red. But the minimize or restore button is transparent, if you hover then it will become blue.
So why does this button have this special treatment?
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Well, when you close an application it is gone. The Windows OS has no control over how software developed by third-parties will handle this very final action. It is up to the developer to ensure that the state is saved.
Will they prompt the user to save their work? Will the browser store the last page you were at if you close it accidentally? Who knows?
In that respect it is potentially a dangerous action, and that may be the reason they decided to label it red for danger.
I've always wondered the same thing but I've never found an explanation from the source.
The confounding part is that using a highly saturated "warning" color is in direct opposition to the fact that it is a destructive action. What they've achieved is undue emphasis.
I tend to think there is more style than substance in this choice. Microsoft was once derided for it's bland interfaces. In response, they've progressively added bursts of color, gradients, transparency, and animation. Most of it is out of place or poorly applied. It's styling, not user-driven design.
I think the red close button falls into this category. They saw it is as an important control so the UI designers went over the top. Partially in response to the rest of the interface being a cluttered mess, I imagine.
Because it represents a basic or elementary action that needs to be accessible even for somebody who does not really see the "big picture" of how the relations of application and windows work, or is not really understanding the very concept of window handling.
Try to talk to someone new to computers on the phone - it's all about
"That thing to the right of the Word 'Firefox' above the words 'File' and 'Edit' and so on - Tools?? - No, one row higher, more far right..."