I also have it unchecked. Since I mainly use SSMS for scratch windows (I edit SQL code in a different editor), I have little reason to be nagged about saving windows.
But as you say, SSMS till often asks about saving unchanged windows. It does not seem consistent, though. For instance, right now, I had two query windows, both changed. I tried to close SSMS, and one window was closed, but I was nagged about the other.
Ideally, I would like to get questions for windows that actually are tied to a file, and not just a generic SqlQueryn window.
I guess I have given up that Microsoft will ever get this.