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We made a conscious decision not to allow this since when you close the tab all of the state associated with the tab is tossed out. The message is there as a fail safe since you may be upset you accidentally closed a tab that had history you were planning on visiting and now you have lost that history. In general, you will find confirmations that don't have a "don't show again" option where it may be very very annoying to continue when you didn't mean to.
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