Your question can be read like so:
Should I make an effort to provide my users with an interface that follows the conventions they are accustomed to?
The answer to this is a resounding yes. Mac users look for close buttons on the left, Windows on the right. For most users this is a system 1 process - they don't spare a fraction of consciousness, it's automatic.
Would it improve the users experience?
Again, a resounding yes. Part of user experience is usability, often defined as the amount of effort (both cognitive and physical) a user has to expand while performing a task. So if the users cannot find the close button where accustomed to, now whether consciously or not (in the peripheral view) they expand more effort, ultimately costing the greatest user resource - time.
Does it really matter?
A surprising answer here - a little. Point is that so long users can perform the task with ease, they are likely to be little bothered about it, if at all. I doubt any user not seeing the button where expected will fail to immediately notice it on the other side. I've seen in user testing far worse conventions broken, and so long users can quickly find the correct action, it seems as if they ignore the mistake altogether.
Perhaps a good examples for this is the collapse pattern offered by bootstrap (which has a famous usability issue). Users clicking on the header area to collapse/expand will quickly (while nearly always being unfazed) move on to click on the text.
Having said that, and as I know the programmatic cost is often very low, I would provide the button where it should be on the host OS.