To reproduce, create an FMX Multi-Device application and drop a TTMSFMXTabSet on the form. Set Options|CloseMode to tcmTab and Options|CloseAction to ttcaFree.
Write something like this in the OnCloseTab event handler to check whether the event handler fires:
procedure TForm1.TMSFMXTabSet1CloseTab(Sender: TObject; ATabIndex: Integer;
// Message does not appear when closebutton clicked
// It appears that this event does not fire
ShowMessage('This is the OnCloseTab event');
Run the program. Click on any tab close button to close the tab. The OnCloseTab event does not appear to fire.