So I have a strategy for one of the index futures (RTY) that is supposed to close the trade "this bar at close". Now I obviously need to make a session so it actually closes a few minutes before.

So what I did is to make my own bars with 1380 minute bars as RTY opens at 5 pm to 4 pm local time (23 hours X 60 min = 1380). I then made a custom session sun-fri for 5 pm to 4 pm. I did this just to make sure that I get the same optimization report as if I use the regular session with daily bars which I theoretically should get. My problem is that I don't...

The opening of my custom session matches but each close slightly differ and I therefore get different results in the performance reports.

Is this a known problem or am I doing something wrong?

If you use daily bar the closing price is the 'Settlement Price'
If you use minute bars (ege 1440) the closing price is the 'Last Trade" which is very different.

Don't think your 1380 min bar idea will work. When you get to the end of the bar the market is closed. A 1375 min bar might work, as when you get to the end of the bar, and it fires of its closing order, the market is still open for 5 more mins!