I have noticed that if the exit from KM is from menu FILE - EXIT KMELEON, then the confirmation on multiple tabs does not occur. This happens in 1.5.4 and 1.6.0a3. If the exit is from the X on the title line then the confirmation message is displayed.

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 ;-)

Yes, that makes sense. It is a feature. In normal practice I never use the menu for close.

This already worked thus in previous version 1.5.3 and since 1.5.0 version.

K-Meleon in Spanish