I've a problem. I'm working on last RDM version 126.96.36.199 but I think this behaviour was present also in previous versions.
When I right click on a session tab and click (accidentally) on Close (or "Close All" or "Close All Other Tabs"), RDM simply close sessions without asing confirmation.
It is very annoying because I loose all my opened sessions and works.
We will add an option for that.
We've made the changes internally. We're planning for this to be available in RDM 188.8.131.52.
It will prompt by default if you do "close all" and "close all except". This behavior can be disabled with an option in File>Options>Advanced.