Idea not closing when related Story or Epic is closed.

This is correct. Currently, we do not have a field on either Stories or Epics to relate to the Idea record and close it as it does with the Demand.
This is likely because the Agile Development 2.0 Plugin can stand alone without the "Project Portfolio Suite with Financials" Plugin and could cause issues if there was an Idea reference.

Demands, on the other hand, are installed with PPM and Innovation Management.

Currently, this is the expected behavior and Idea closure will need to be manual.

If you are willing to customize, you may be able to create a new field on Stories and Epics for Ideas and implement a Business Rule similar to the "Update Idea State on Close" rule that encountered on the Demand table.