In Menu > Configure Yakuake > Behaviour > Dialogs, I have selected "Confirm quit when more than one session is open" and I have multiple tabs with each multiple sections open. If I accidentally press the "close" button though, yakuake quits without asking anything..
*** Bug 399284 has been marked as a duplicate of this bug. ***
Seems to be fixed in master, most probably by 0c0eb086bdc0a726874a56b46de29fcc73fb792b