Can you post an exact message? There's no such message in WinSCP. There are two similar messages. But they are shown is very different situations. So I want to clarify which of them do you mean:

The remote file has been changed while you were editing it. Do you want to overwrite it anyway?

File was modified. Save changes?

Or none of these?

I want to close WinSCP and get a message

File has been changed ... save ?

But the filename is not mentioned.
Before coming to this point I closed several tabs. Some of the connections were long open and already disconnected by the peer. Before closing the respective tab I reopened the connection for a short check (which connection and directory, anything left to do there ?). Then I closed the tab. Seems as if this automatically closed respective internal editor instances but with no hint that one of these files was not saved.

After searching my open windows a found an instance of the internal editor with a changed file.
Nevertheless I think there is a warning missing when you close tabs where editors are still open. And it would be helpful to get the name (and path...) of the file or a hint in which connection this file was opened and not saved.

- thanks -