This has recently been changed (in Mendix 6.7.0). See the release notes for the details on these changes. This part of the release notes should answer your question:
Many of our users have commented that the Close on save/cancel property was confusing, especially in combination with the Is close button property of data view control bar buttons. This property was used to configure whether the page was closed after clicking the save or cancel button. You can now configure that behavior using the Close page property on the respective buttons.
We are working on updating the training material. Thanks Bram.