It seems to be on larger projects (more tracks, more plugins).
There are a few points…
One of the projects this happens on is only using the stock plug-ins.
I created a test project yesterday that uses all the VST plugins (every single one, a few instances, 3rd party too) on some tracks and it closes fine using that. This is, though, obviously not a large project in terms of number of instances and track count.
I have other large projects (some larger) in Cubase 8.5 and 9 but I have not had this issue with C8.5 or 9. The same VSTs are also in use in those projects.
That and the fact that this happens on the project with stock plug-ins leads me to think that it’s perhaps not down to a 3rd party plug-in in itself.
It would just be nice for it to close properly, without having to resort to Task Manager to close it. There’s no sign of the project being open at the point C9.5 freezes. From what I can tell, the project is saved okay etc, but that does become a worry as you begin to lose confidence in it.