Should not Math.SE implement a close option with migration to MathOverflow?
Would I be encouraged to ask a question there, that is at the appropriate level, despite having asked it here, where it is not getting any attention? Would it be a bad idea?
... having asked it here, where it is not getting any attention?
In such a situation (MO-level post not getting any action at MSE), you, the question owner, can request migration to MO by flagging your post for moderator's attention.
The above situation is largely unrelated to the question of whether there should be an established migration path to MO. Such a path would allow other users to migrate your post there, whether you want it or not. My opinion is that there is no need to open migration path to MO.
Yes, as MO is part of the StackExchange network, and the former is at least as much related to Math.SE as is CrossValidated.SE or Physics.SE, Math.SE should implement migration to MO in the flagging menu.
:-)$\endgroup$