Unable to close preview windows of XD on macOS by keyboard shortcut.

I think it's time to do the inevitable dirty trick.

Since you're working on a Mac, you can easily (and for the sake of testing) create a new user account and try using Adobe XD with such cloud files and hope the shortcut is failing again.

If it is still misbehaving, then there must have gone something wrong in the application, so remove Adobe XD completely and reinstall it (by deinstalling in the CC Desktop app). That is, when you haven't done that before.

If it's working okay, then there might be some corruption in user-based Library files.

Could you try temporarily switch off all plugins you might have activated, quit XD, restart it, and try if this helped ?

If it didn't help, we might find a culprit at a deeper user level.

I know that in the Library folder in the Application Support folder, there are an Adobe.XD folder, and Adobe XD folder in the Adobe folder. Removing them might help. Quit XD before doing so, open the Library folder by pressing the option key while choosing the Go menu command. And rather copy these folders to your dekstop, and delete the original folders. If that fresh start didn't help, you might as well copy them back again so certain features return to your preferred setting. Nothing crucial to miss out on, but it's a small effort.

Also try moving/copying/deleting (and perhaps putting back again) these four files from the Preferences folder in the Library folder: 

com.adobe.xd.plist

com.adobe.xd.uxp_CC_LIBS.plist

com.adobe.xd.uxp_com.adobe.ccx.xd-start.plist

com.adobe.xd.uxp_com.adobe.ccext.pluginmarketplace.plist

Maybe some one from the support team can point out which other files or folders to delete, in order to let XD have a totally clean start.