Before I dig into this, I bet someone has already investigated this and 
decided it can't be done. When you close the Squeak with the desktop 
manager's "Close Window" (the "X"), squeak closes without a confirmation 
dialog. Windows has an "Are you sure?" and I expect the Mac version does too. 
Why not Linux? 

(I'm running XFCE, but KDE and Gnome do the same thing.)

brad