If you Script Object to a new Window and then immediately attempt to close it it should not ask if you want to save you changes simply because there have been no changes made. While it is a new window with contents, those contents haven't yet be modified by a user, so there is really no reason to save it. If the user accidently closes the window they can simply re-open it with the same command as what they used.

This should also include windows that the user may have executed queries in but yet did not modify the pre-generated SQL.