Also, you can see all your InDesign keyboard shortcuts by going to Edit > Keyboard Shortcuts. If you click the "Show set" button, InDesign opens a plain text file that lists all the commands that can have a shortcut applied. It can be easier to scroll
through that text file than to try and find a command in the dialog box. And, you can search the text file, such as looking for "control" to find the control panel listing.
On a Mac the control window shortcut is:
Control --- Default: Opt+Cmd+6
I don't know of any shortcut to close a dialog box except ESC.