The problem with the "X" button is twofold:

1. It's usually hard to find and to touch on a mobile device

2. Many websites use the dark pattern where clicking "X" is actually a way to give consent (or so they claim, as such "consent" is not valid under the GDPR rules). Due to that, many users are habitually confused about what will happen to their data choices if they press "X".

(Disclaimer: I'm on the team behind this feature)