This appears to be a bug in the way jQuery ships. You can fix it manually with some dom manipulation on the Dialog Open
event:
$("#selector").dialog({
open: function() {
$(this).closest(".ui-dialog")
.find(".ui-dialog-titlebar-close")
.removeClass("ui-dialog-titlebar-close")
.html("<span class='ui-button-icon-primary ui-icon ui-icon-closethick'></span>");
}
});