There's no option in the UI for changing this currently, but you can change a value in the registry to reduce the size of the radius used to decide whether it should auto-close.
Select Start followed by Run and type Regedit and press OK.
Once in your registry, navigate to the following key:
Xara Xtreme Pro 3.2
HKEY_CURRENT_USER\Software\Xara\XaraXtremePro\Options\Selection Blob Sizes
Xara Xtreme 3.2
HKEY_CURRENT_USER\Software\Xara\XaraXtreme3.2\Options\Selection Blob Sizes
Please contact support for the complete path the product you are using.
Right click on the value name 'Freehand end Hit-detect' and select modify.
Reduce the value to reduce the number of pixels used for the hit radius. As an example, altering the value from 12 to 2 will ensure that the the paths will not close unless the end point is within 2 pixels of the start point.