Currently, if you follow the training to the next page you can download a sample that does indeed work and should make the missing requirement clearer.
In the sample the Close Application activity includes a screenshot of the open notepad.exe application.
I haven’t found that requirement actually documented anywhere though
Using the Indicate on Screen link in the Close Application activity to point to a running Notepad instance actually ends up automatically populating the Selector property. That is really what is required.
You can always use the UiExplorer tool available from the Studio ribbon to find the correct Selector XML snippet and just enter it manually without the image. In this case it’s
<wnd app='notepad.exe' cls='Notepad' title='Untitled - Notepad' />
Either method works.