Traditionally applications have asked the user if they're sure they want to quit. That's a no-no these days, but it's still a reasonable choice in situations where the cost of quitting might be high (there's unsaved content, or the app takes a long time to start, or it's impossible to persist the current state of the application).
For some time, the Chrome team refused to implement a 'Sure you want to quit?' popup due to a general anti-popups consensus. They also refused to implement a checkbox to enable that behavior due to a general anti-configuration consensus. They've since relented on the latter.
Mozilla Firefox used to have a setting under options/preferences to disable loading images and loading javascript. People complained and said this should be removed as not enough people use it and that people who use it can create/use an add-on to do the same.
It is not easy to find a right balance between providing adequate functionality while avoiding information overload. The web is still evolving. We are learning and we will do better (overall) as time goes by. :)
Yeah, if you don't care about privacy and save such data to disk as active session, active browser tabs, history, cookies, etc. Those should be RAM only for privacy reasons and never stored to any medium which can store those for extended periods.
Also, I made a mistake, it doesn't close the window. It closes all windows at once. Be afraid!