Hello Sonja,
do you know what exactly happens when you click on "X"? How is redirect triggered? Javascript, direct link, ...? It looks that WPM action does not properly trigger the redirect. I would suggest to try XY mode to click on that "X".
- Record to the point when you are going to click on "X"
- Edit -> Toggle XY capture mode
- Click on X (try to click to the middle of button)
- Disable XY mode
- Continue recording.
XY mode simulates real mouse movement and actions so in some cases it may be better handled by website than normal playback mode.