I'd suppose that is a feature, not a bug
In the past (before using tabs), when I clicked that little cross in right upper corner, I was used to close only one page=1 window, out of many. Now I occasionally still do that with tabs too, and then often go "oops" when the warning comes...
But clicking File>Exit K-Meleon, this is something one only does when really wanting to close the whole browser ;-)