I agree that this would be nice. Unintentionally closing the window has happened to me a few times, and always causes a "wait, what?" moment.
A small enhancement request....
Currently when you open a directory with TM2, it starts with an empty untitled document. If you do not make any changes to this document, then the first time you open another document, the empty one is discarded. Nice.
It would also be nice if there were a setting where when you close the last tab in a window, instead of the entire window closing, a new untitled document was used as a placeholder instead, just as when a folder is originally opened. If you do indeed want to close the entire window then you can use the ⇧⌘W "Close Window" command.
When I finish a task I tend to close the documents that I was working on before starting a new task and I often find myself closing the entire window unnecessarily.
Just a thought.