The small furthest on is close ZP, and the larger X button to exit/enter fullscreen.
On my setup (Onyx, with no changes to the Control Bar), the small one (the one furthest on the right) is to close the Control Bar, not Zoom itself. Have you enabled the 'Exit Player' button in Advanced Options-->Interface-->Control Bar-->Buttons?
Aside from that, just quickly tried to reproduce this - if something has broken, I can log it into madshi's bug tracker. Both buttons ('Fullscreen Mode On/Off' and 'Hide Control Bar') both work as expected on my system. Can you post a screenshot of your madVR settings please? Specifically, the Rendering->General Rendering section. I have changed a few of the defaults in there (eg disabled FSE mode) and I expect that may be why I can't immediately reproduce the problem. Also, what do you have set (enabled or disabled) for these two Zoom options?
http://i.imgur.com/zm8Jk59.png
ehat
Edit #1: Nevermind, managed to reproduce it. madVR settings are irrelevant - FSE can be enabled or disabled, as can the new DirectX 11 presentation mode. The key setting is in Zoom: "Display OSD through MadVR's OSD API (preserves fullscreen exclusive mode)" must be enabled. If it isn't, there is no problem (but if you have FSE enabled in madVR, you need this setting enabled in Zoom otherwise the Zoom GUI will kick madVR out of FSE mode when it displays). madshi may have changed something (or the madVR API may now have a bug) - I will ask bLight about it first, then madshi afterwards if necessary.
Edit #2: bLight asked me to report it to madshi. Bug report here:
http://bugs.madshi.net/view.php?id=289
Edit #3: Bug will be fixed in next madVR build
Edited by ehathgepiurhe, 10 May 2015 - 12:17 PM.