At the moment, the Tools | Options | Tabs checkbox 'Warn me when closing multiple tabs' does change the browser.tabs.warnOnClose preference, so that the warning happens when closing a browser window with multiple tabs *when you have multiple browser windows open*, but it does not change the browser.warnOnQuit pref, which means that in the probable majority of circumstances, when a user closes the browser window with multiple tabs open and only 1 browser window open, they still don't get warned. This likely seems very unintuative if you've checked 'Warn me when closing multiple tabs'. This checkbox should therefore set both the browser.tabs.warnOnClose and the browser.warnOnQuit pref.

The behaviour you describe has been implemented in bug 629485, this is now present in the latest trunk nighties and will be in ff4 beta 12. You now get the same closing multiple tabs warning when closing the last window as you did previously when closing secondary windows. For more information see http://blog.zpao.com/post/3174360617/about-that-quit-dialog