Created attachment 121084 [details]
It shows that the option is checked.

SUMMARY
When there is more than one session there is no confirmation before the window is closed.

STEPS TO REPRODUCE
1. Open multiple session in Yakuake
2. Click on the X to close the window
3. The window goes away without confirming quit

OBSERVED RESULT

The window goes away

EXPECTED RESULT

A pop-up dialog box confirming that I want to close the app

SOFTWARE/OS VERSIONS
Windows: 
macOS: 
Linux/KDE Plasma:  5.8.7 / openSuSE LEAP 42.3
(available in About System)
KDE Plasma Version: 5.8.7
KDE Frameworks Version: 5.32.0
Qt Version: 5.6.2

ADDITIONAL INFORMATION
There should be an option to set a confirm quit even when you only have 1 session open or give the user the option(s).  ;-))