The ‘Closed’ and ‘closing’ event is triggered if you press the x-button. This is very similar/equal to how Windows Forms and WPF are working. Eto is just a multi-platform GUI wrapper. If you don’t know how to properly use Eto, which indeed is badly documented, then have a look at how things would work in these two GUI frameworks.
A Rhino command in comparison is really simple. As the name 'command’ implies, it just invokes a sequence of actions. Once it’s finished, it’s gone. Static fields obviously stay active, that’s why they are static. But declaring a static field inside a command is contradictory to its purpose, as @dale pointed out.
A singleton or even a service injected through a service provider is the right architecture to deal with problems of persisting information through multiple instances and types.
But before wildly guessing, isn’t it better if you post a minimal example?