There are two issues causing this behavior.
The first issue is If you uncheck the “Enable Microsoft Dynamics GP close Confirmation” check box, you see a message pop up that says the change won’t take effect until the next time you log in to GP. However, that is not the case because once that box is unchecked, no matter what other window/tab you go into throughout the Toolbox, the close confirmation will not invoke when you exit GP. The only way to get it to invoke again is to check the “Enable Microsoft Dynamics GP close Confirmation” check box again BEFORE exiting GP.
First cause workaround is to ensure the check box for “Enable Microsoft Dynamics GP close Confirmation” is checked BEFORE exiting GP.
The second issue is if you open the System Maint Lockout tab in System Settings. Enable this tool if not enabled. Click the Preview button. When the Preview appears, hit the ‘Exit Now’ button on the Preview window. This will disable the Close Confirmation.
The second cause workaround is to not click on the Preview button.
These two bugs have been entered in CRM and will be fixed in a future build.