Is it possible to configure SQL Server Management Studio (SSMS). so that the dialog box shown above does not appear when I close an unsaved query window?
In SQL Server 2016 this is apparently coming.
The pre-release docs says
In previous versions there is no setting to suppress this warning.
A connect item was raised about this by Erland Sommarskog and closed as won't fix with the explanation.
The Connect page is returning an error at the moment so here is a cached copy of it.