This happens for example when the said form or application does not have focus, and you're trying to terminate the application by right clicking the Dock icon and selecting "Quit". The form will not close until it gets focus again. 

I have had a friend report the same thing when programmatically closing a form that did not have focus.

The FormClose event does get fired, but the form still does not close.

KodeZwerg in the Lazarus Forum (thanks 👍😎) helped finding the fix, by simply adding "self.show;" to the FormClose event.

procedure TForm1.FormClose(Sender: TObject; var CloseAction: TCloseAction);
begin
  Self.Show;
end;