HI Anuj,
You will need to open a case.
The fact that you are not getting the incident number in the custom field would be the reason the close process is not working as there is not link between the two.
You will need to increase your loglevel to 5 and losize to 25000 on the gateway probe and restart it.
Then do a new alarm test and check the logs for errors.
I am pretty sure you will see you are getting some type of error.
This is probably too complex an issue to deal with here.