Version 2.8 of GIMP saves images as .xcf files by default when you hit CTRL-S. I remember a development version did this years ago but it was reversed before final release due to user feedback AFAIR.
I can understand the reasoning behind this decision but I hate it. It really, really bugs me. I don’t think it’s going to change in the future but if you must have your CTRL-S “save as a bloody jpeg because I said so” there is a way around it. You’ll use keyboard shortcuts.
Go to Edit->Keyboard Shortcuts and then search for export. Now change the shortcut to CTRL-S for either “Export…” or “Export to”. The former shows a save dialog, while the latter overwrites the file you have loaded. I prefer the save dialog.
You’ll still get the “close without saving” dialog. If it really bugs you (and I think it will) there’s a checkbox in the preferences asking you to, “confirm closing of unsaved images”.
*sigh* what a mess.