In the method editor, if you were to attempt to close a method without first verifying/saving it, you will get a message reminding you of the pending changes. However, if you quit Developer without saving the changes, there is no message and your changes are lost. Could there be such a warning message?
Added to planning
Fixed in the 2.0 build
Using Version R2 2.0 beta5-build 260 if you exit the Developer application there is now a prompt reminding you that you have pending script changes, but, even if you select to save the changes, they are not saved.