Confirming that the confirmation is indeed already available in early 3.6 versions.
And yes, you can disable the confirmation dialogue if you don't want it - I don't remember but i think it's off by default.
...we don't need to be asked every single time if we want to close MB to the tray :-)
For clarity's sake, the option I mentioned above is only intended for those who
- accidentally click the close button (which has been pointed out by some here as the reason behind the support for the wish),
- and not for those who intentionally click the X hoping for some different action other than for MusicBee to terminate.