[Feature Request] Add "Are you sure"-style dialogue when closing the window, rather than losing all unsaved work

[gardrek]

Tested on Linux only, when closing the window, (e.g. by pressing alt-F4 or your desktop's equivalent), any unsaved work is lost. Most other actions that would lose unsaved work stop and ask if you're sure, so for consistency this should probably work that way too.

[AmyNicoleC]

Quickly tested it on Windows, also doesn't prompt there.