Sorry, I was not able to add a comment to one of existing answers, but in case you wanted to implement a kind of warning dialog, I just wanted to mention that any event handler function has an argument - event. In your case you can call event.preventDefault() to disallow leaving the page automatically, then issue your own dialog. I consider this a way better option than using standard ugly and insecure alert(). I personally implemented my own set of dialog boxes based on kendoWindow object (Telerik's Kendo UI, which is almost fully open-sourced, except of kendoGrid and kendoEditor). You can also use dialog boxes from jQuery UI. Please note though, that such things are asynchronous, and you will need to bind a handler to onclick event of every button, but this is all quite easy to implement.
However, I do agree that the lack of the real close event is terrible: if you, for instance, want to reset your session state at the back-end only on case of the real close, it's a problem.