What do you mean with "the closure"? A closure is a PHP language construct, it has nothing to do with Fuel. Perhaps you can post a code snippit so we can see what you are trying to do?
As to validation, I assume you mean "define your own validation rules"?
1. adding them to the core Validation class by extending the class in your app.
Has the advantage that your own rules are automatically available everywhere in your app. Has the disadvantage that you have to re-check compatibility when you upgrade Fuel.
2. adding them to a seperate and dedicated class in your app.
Has the advantage that your rules are separated from the framework rules, that you can create several rulesets by creating multiple classes. Has the disadvantage that you have to add it to a validation object in your code using the "add_callable" method.
3. adding them to a (ORM) model class.
This option is only useful if you do form validation via a model, so if you have a form that represents a record. The advantage is that you can define specific rules for specific fields in your model, the disadvantage is that you may have to duplicate methods if multiple models require the same validation rule (unless you use a base model), and your validation code is all over the place, making maintenance of the app possibly more complex.