Not on 30/07/17 it's not...!!!
After accepting 'go to do' for every other question in this section, Duo will not now accept 'they go to close the window' for this question. Usually I do tend to agree with Oscar Wilde that 'consistency is the last refuge of the unimaginative,' but not in this case
I'm not even sure if "go to do" is correct English. At least it's not phrasal future. They're probably not even walking at all.
Yours is a better translation. They will close the window = Ellos cerrarán la ventana.