For me on two different editing machines I've had hit & miss results with the Effects Window. Sometimes when I relaunch FCP the Effects Window is missing or in some weirdo position. Also, tapping Command + 5 (to bring up and close the Effects Window) will simply not work. I can invoke the window by hitting Command + 5 but not dismiss it. Same thing applies to using the Window menu in FCP. It will bring the Effects window up but won't close it.
For me the only way to close the Effects window on two machines is to use the mouse to manually tap the close window widget on the window itself.