As an attempt to partially address this issue, it is fair to consider that once migration paths open up to StackExchange 2.0 sites, the close dialog is going to get ugly as each site would get its option control and explanatory text:
Here's what I was thinking about to improve the situation:
The stick says, "Yes, those tags are actually about the site."
Initially, with only a handful of sites eligible for migration to, this may be cumbersome and the current solution with one option per site may work better.
However, in roughly a month, there will (hopefully!) be many migration paths opening up shortly and it will just be complicated keeping track of what topics there is a StackExchange about in the first place. Hence why I think search may work better.