Yes, never trust features like these for anything important, we're just not in that era of computing where losing user state is a cardinal sin.
Had the same issue.
Though you could use a shortcut to quit the editor instead of closing windows
Note that Sublime Text always prompts for each unsaved file in cases where their content could be lost. We heavily prioritize issues with data loss. That being said I still wouldn't recommend keeping important stuff unsaved, really they should be fully backed up like everything else important.
Though you could use a shortcut to quit the editor instead of closing windows