It's common on most dialogs, and I sometimes find myself looking for it. Just a helpful touch.
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Offhand, the "Cancel" button is sometimes a navigation action (e.g., labeled "Continue"), and "X"'ing to navigate feels a little weird to me in these cases. When dialogs are rendered standalone, the "X" is always a navigation action (I suppose we could render it only in JS mode if this is confusing, though).
Are there specific dialogs where this feels like it's missing? If there are a small number of them, like T4891, maybe a tailored approach with more of a "lightbox"/"overlay" style of dialog that you can click anywhere to close would fit better.
We also have OS X button order (submit/continue on the right). It seems a little odd to use Windows X positioning (x on the right vs x on the left) with it, maybe?
This is technically very easy but I'm still not really sold on the value.
Particularly, modal OS dialogs usually don't have this, and we have very few, like "HEY BUDDY! take this 300 step tour" dialogs where "Back", "Next" and "X" would be legitimately distinct actions.