The To Clip button should be enabled whenever there is a command that has been generated. In your screenshot, you have made no change to any of the properties, so no command is generated and the To Clip button is disabled.
In a panel, if you are in tools mode, you can right click on a control and select Copy Commands to copy all of the commands to generate the control to the clipboard.
As for hitting Escape to close the window, that's something we've tried to do but it's basically impractical to implement in that dialog. When certain widgets in the dialog are selected hitting Esc does close the dialog, but when the property editors are active then the Escape key press goes to the editor which reverts the value.