The Tab warn items in "Options/Preferences > General or Tabs" are hidden when the related prefs have the default value and warnings are enabled. They only show when you toggle the related prefs on the about:config page. Note that this may require to close and restart Firefox.

• "Warn me when closing multiple tabs" (browser.tabs.warnOnClose: true)
• "Warn me when opening multiple tabs might slow down Firefox" (browser.tabs.warnOnOpen: true)

You can open the about:config page via the location/address bar. You can accept the warning and click "I'll be careful" to continue.

• http://kb.mozillazine.org/about:config

I tried this and it work once and now it won't work again. I toggled the "warn me" tasks and it still is not working.

What is the startup setting?

When you use "Show my windows and tabs from last time" then Firefox might not show a warning. You would have to use one of the other two choices.

Everything is on default. I set the command as you described and then clicked on "Warn before closing tabs" then I closed the widows.. no warning. Then when I go back to options the "Warn before closing tabs" task is not there anymore

The warn items in "Tools > Options > General" are hidden once you have set them to their default value to warn you.

Do any of the warn prefs have a non default setting if you search for warn on the about:config page?

Try to set browser.showQuitWarning to true.