The windowClosed event is fired when the window has already closed. But it will not close if you allow it to close. You can do this by setting a proper default close operation. When you click the X it will fire the windowClosing event instead.
Because you may want to be informed of both when the window is about to be closed (windowClosing), perhaps so you can block it, and when the window is actually closed (windowClosed), perhaps so you can do some clean-up.