It seems you can only Get the value for the AutoCloseDelay option and not Set it
Break On
DIM $RC
$RC = SetOption("Explicit", "On")
DIM $MySite
$MySite = CreateObject("CuteFTPPro.TEConnection")
'Error ' @ERROR ': ' @SERROR ?
$MySite.Option("AutoCloseDelay")
?
'Error ' @ERROR ': ' @SERROR ?
Get $RC

Returns
 Code:
Error 0: The operation completed successfully.
60
Error 0: The operation completed successfully.

Trying to Set the value by adding
$MySite.Option("AutoCloseDelay") = 60

returns
 Code:
AutoCloseDelay
ERROR : unexpected command!
Script: C:\Script\untitled.kix
Line  : 10