While this is certainly an option, quite often users expect to start with a clean slate when they open a new dialog. In this case you can only pick one. Give the user an extra convenient way to dismiss the dialog, but doing so, risk surprising them when they open the dialog the second time.

Me, I opt for the no surprise and make sure the top x-mark is nice and clickable, as well as a cancel button after a submit button, and make sure the escape key also works for users with easy access to physical keyboards.