I've been reading about this for 10 minutes, and it seems complicated. There is some interplay among the preferences, and different ways of closing have different effects.

This is my understanding so far of why you might NOT get the warning:

(1) The warning is intended to fire when you close the last window using the "X" button. It is not intended to fire when you exit through the menu (File > Exit, File > Quit).

(2) No warning is shown if you have Firefox set to automatically restore your windows and tabs from your last session (Startup, home page, tabs, and download settings)

(3) No warning is shown if you customized browser.tabs.warnOnClose to false (unchecked the box in Options/Preferences for "Warn me when closing multiple tabs")

Because I can't experiment and test at the moment, I am not sure the above is correct, but maybe it helps explain what you're seeing.

I had setup auto-restore tabs because of the loss of the quit warning.

I ask for a way to get it back because its a very useful saving grace when I have accidentally hit Command + Q, especially when running downloads, filling out forms, etc.