When you use LOAD or SHUTDOWN commands with unsaved changes you get this prompt to confirm. It would be super helpful if we also got this prompt when closing the program through the close button on the window decorations.

If I remember correctly, this was done on purpose to make it feel like a console being shut off. If there are any unsaved changes, the cartridge is backed up in a special pico-8 folder before the program closes, so you don't lose any data from a misclick.

Personally I wouldn't want a prompt to appear when I click the X, either in the program or in a little native OS window. X means close now, not ask if I want to maybe close at some time in the future.

I recommend always using shutdown in the console, not OS shortcuts.