This isn't really a bug but it's a change since the last version of K-Meleon and I think the old way was better.

If you hit the "red x" in the upper right hand corner, you get the option

"Close all tabs"
"yes" "cancel"

It used to say

"Yes" "No" "Cancel"

That way if you hit "no" it would only close the tab you're in.

Like I said it's not really a bug but having the three options I feel, is a better way to do it. Just a suggestion