Hi Bob,
We regret for the inconvenience. This is because of known issue # 1343, which has been fixed internally and this fix will be available in our final release of v.4.1.
Defect # 1343 - TabbedMDIManager makes closing event not to work properly.
However, the following workaround might help you in this regard.
if (MessageBox.Show("Do you want to save and close?", "Save", MessageBoxButtons.OKCancel) == DialogResult.OK)
e.Cancel = false;
else
e.Cancel = true;
Please let us know if you have any questions.
Regards,
Mano