Close: discussion is too contentious, not going in a productive direction, endless.
Delete: discussion is harmful / hurtful, went in a flat out wrong direction, needs to be restarted from square zero
Unlist: Possible security implications, or not of general interest to the wider audience at all, highly specific to one person
Make PM: same as unlist, but “safer” since nobody can visit the URL any more. If you will need personal or intimate details to go further, probably a wise choice vs Unlist.