I understand how this can make it easier when moding, but there's also the case where you can end up closing the game immediately without a save prompt, which can be frustrating.
Not a big deal though, since the autosave usually does quite a good job.
However, it could be added as an option.

Apologize for the confusion.

I meant when you click the X button on the top right on the window.
There's indeed already a message for the quit button, but not when trying to close the window.

Quick suggestion.
Add a confirm dialog when I click the close button.