I'm also on Ubuntu with MATE and Ambiance looks like this:

There are buttons in top right corner, in all themes there are. Your OS must be missing something... is there a message in theme changing tool when you select Ambiance?
Update from comments:
Here's the ultimate solution. Managed to run a quick batch on all those icons with Phatch+ImageMagick, fixed couple manually with GIMP and here it is... Custom Ambiance closeable on very top right corner while maximized:
https://drive.google.com/file/d/0B7Jj61b72RMWMVZ3TDdVbmJfbnM/view?usp=sharing
Unpack into ~/.themes/ ... Almost everything is possible on Linux :)