When a docking window is "closed," it has been removed from the layout altogether. Meaning it's not in any tabs, etc. It is still alive in the DockSite though, waiting to possibly be reopened.
When a docking window is "destroyed," it has been closed and also unregistered from the DockSite. Document windows (by default) auto-destroy themselves when they are closed since their lifetime typically end when they are closed. Tool windows do not auto-destroy when closed since they are intended to reopen again later.
All our events are centralized on the DockSite at this time, which generally makes it easier to handle when you have any number of multiple docking windows. So yes, what you would do is handle the DockSite.WindowUnregistered event, which fires when a docking window is destroyed. And in that handler you could dispose your content for the specified docking window.
We are open to making API enhancements in the future, so if you have any suggestions on API additions that would help, please send them over.