The "Stick Slidelet" option has been unchecked all the time, but the "X" button stayed.
Meanwhile, on saving Captivate asked me for the umpteenth time if I wanted to convert my project from Captivate 7 to 8. It seems like I originally had a version 7 trial installed, but my licensed copy clearly states that it is version 8 now, and I have answered this dialog with "please convert" in this project every time before.
Anyway. Now my original slidelets still have the unwanted "X" button. But when I create a new slidelet from scratch, it does not have the button anymore.