You should be able to close the browser tab if you cannot close the message.

If you want to leave more feedback, duplicate the tab first -- the message will not appear in the duplicate tab.

eBay don't read here, so you will need to contact them if you want to tell them about it

How do you mean eBay is locked?  (as in frozen?)

Have you tried turning on your pop up blocker?

Have you tried clicked the left and right click at the same time, and then clicking again to close that window/tab? 

Is it in a new window or a new tab?

If it is a window, can you reduce down from 'full screen' and then click the x

Does it happen regardless if you click yes/no/either?

I see it too, but not always. I am able to close it somehow, but right now I don't remember how. Either there is a little cross or a cancel button I think. I use Windows 11 and Chrome on a laptop. It could be different if you use the app.