Except when you try to close it, it asks whether or not you want to save the unsaved tab, with a modal, one per every unsaved tab. It kind of defeats the purpose of this feature.
Strange it does prompt me to save and I also don't do any extra configuration for the Win11 Notepad. It is a fairly annoying app, and definitely worse than previous versions. But will look into what config options there are, but being a modern software I expect it's probably got limited options.