Is there a setting to have RDM prompt with an "Are you sure" warning message when you click the X to close a tab?
Unfortunately there is no such option in RDM.
I will move this thread in the Feature Request section and someone from the engineering will check if it is possible to add this feature.
Although our various support queues will be monitored for emergencies, Devolutions' offices will be closed on June 24 and July 1st, 2019.
I will add this to our todo list.