I'm pretty sure I've submitted this one on sourceforge a couple of builds ago, perhaps I didn't word it well enough since I haven't seen it fixed ever since I've got construct.
I don't know if you know about it at all or if it's a local problem on my own PC, but here are some instructions on how to reproduce it for the viewers at home:
1 - Open up a saved cap (preferably one you don't mind altering or something)
2 - Make a few changes here and there WITHOUT SAVING
3 - Close the cap file without closing construct, the file should just close without asking if you want to save
4 - Close construct
Now, upon closing construct, you should get the message asking if you want to save that you SHOULD have seen at step 3. This message appears for however many caps you've had open during the session and closed without saving beforehand.
As I said before, I don't know if this is a problem with my machine but I can't reproduce it in any other application and I have lost quite a lot of progress on some of my older projects due to this bug.
Sorry to be a pain