I know that this can be done and the Zen Window has the functionality. This can be proven when you upgrade a Zen7 workstation with that policy configured. After the upgrade the new Zen Window has the close button greyed out. It would seem that there is simply no way to configure it in the Zenworks Control Center.

Has anyone figured out a backwards way of doing this? Is it a registry edit or a config file somewhere?

I have many staff returning after the summer break and tons of them keep closing the window and then freaking out, telling me that their icons have disappeared. It is getting quite frustrating.