Closing escrows returns coins to your wallet. Think of this as the 'clearing' step of Arwen trading.
When you setup each escrow, you specified a return/receiving address for your coins. Upon escrow closing, unused coins from the user escrow are returned to you, and coins bought from the exchange escrow move to the wallet you specified for that coin.
Closing a user escrow does the following:
1. Returns your unused coins (e.g. If you locked 1 BTC in a user escrow and sold 0.6 BTC, 0.4 returns to your BTC wallet)
2. Sends your used/sold coins to the exchange
Closing an exchange escrow:
1. Sends coins you bought to your specified wallet
2. Sends unused coins back to the exchange.
(e.g. You requested an exchange escrow of 5 BCH and bought 2 BCH. 3 BCH return to the exchange's wallet and 2 BCH move to your specified wallet)
Closing Escrows Early
You'll set the expiration of an escrow based on your particular trading needs. For example, Alice would like to trade LTC for BTC for two days. Alice can simply request to open a BTC exchange escrow on her behalf for 48 hours once she establishes her user escrow for LTC. Once Alice has finished her trades, she can close out the escrows prior to the expiry time and receive a rebate plus any unused mining fees (see MFR within Pricing and Fees).