Though it's not  in the documentation, I guess they no longer want you using the "Close Me" function, and suggest to stop using it.  I had put in a support request asking the same thing a while back, as it would hang up my jobs until I removed it.

Thanks for the reply.  Did you replace it with a different action or does your Bot stay open until your next scheduled task?

From what I can tell, the Nintex Bot program remains open, however the actual bot closes out and allows the next scheduled bot to run.