Hi @lian - thanks for the post, and sorry about the issue. MarkdownPad should definitely prompt you to save any unsaved work!
An indicator is displayed on any tab with unsaved changes, and if you close that tab or MarkdownPad itself, you should be prompted to either save, don't save, or cancel.
Are you able to recreate the issue with a test document? If so, please post the steps as it will be very helpful in understanding the problem.