This feature was previously under ALT when X symbols appeared to windows corners. Now, I see that it has been removed in El Capitan.
My settings in Mission control
How can you have close-window symbols in Mission Control of El Capitan?
When you first trigger Mission Control you now get Desktop names rather than icons of desktops
...which seems to be one pointless additional step, to me... however...
Once you hover over the names, they turn to icons.
Wait half a second longer & an X appears in the corner of the one your cursor is over .
At that point, holding Alt ⌥ will show X's over them all.
After comments - a picture of my Mission Control settings, in case they make a difference to functionality...