When you select the "Prime gaming loot" button to the left of the notifications button, you are shown a list of notification of the possible loot to claim and for most you are able to clear these by clicking on the 'x' and it disappears but if it's the last of these notifications clicking the 'x' does nothing.

This was seen on chrome, ever since that tab's been updated to show the "All", "Free Games" and "Ending Soon" tabs