Have you tried using
xkill? That will destroy the window, though it will leave behind the
su process and it's children. You can try to Ctrl-C in the
xterm to kill the process. Or if it's actually an
xterm process (and not
gnome-terminal or some such) you can Ctrl-Left-Click and send a KILL (or other) signals to the child process.
I think you could add something like this to your
Alt Shift<Key>F4 window f.exec "xkill -id <WM_CLIENT_LEADER>"
The reason that
fvwm doesn't close an
xterm -e su - is because the
xterm can't end the sub-process. So to get the Window Manager to end the
xterm it needs to be destroyed and not politely asked to close.