As shown in the picture, when clicking on the icon in the taskbar, right-click on the popped-up [Close Window] form element.
Is it impossible to select it directly? Should I press F2 to delay for 5 seconds, and then right-click on the popped-up form element before selecting it?
Just use Element → Mouse → Right-click. Then you simply left-click on the element you want. When you record “right-click” mouse elements, left-clicking works the same as right-clicking. Then you have to press the F2 key to have the chance to bring up the context menu, just as you said.