There are no options to disable the closable button for messager in current version. The messager is created based on window, so there has one way to hide this closable button. The code below shows this usage:
$.fn.window.defaults.closable = false; // disable the closable button
$.messager.alert('My Title','Here is a message!');
$.fn.window.defaults.closable = true; // restore the closable button