@passenger-chi For sure it makes sense, and it's probably the primary use for the average user. But not giving an option to change this default behavior could be seen as bad design, specially in those cases where there is no way to revert an accidental window close.
There were in fact discussions about this specific feature in the developers forum, and some of them were firmly against the omission of a close warning in incognito mode. They argued the risk of accidental data loss is, without doubt, much worse than taking a few miliseconds more having to click the "OK" button. But the decision was not up to them, and because this is not a critical feature the request as dropped.