If you choose Restore previous session, Firefox will always close immediately via any close route.
You can also pin selected tabs so you close everything, but start with the pinned tabs. That will always save the session and start the next session where you left off. If you normally want to continue where you left off, you can use about:preferences (or Edit | Preferences) to set Restore previous session under General | Startup. The interface isn't designed to choose saving tabs at quit time on a session-by-session basis. It no longer has 'Save and Quit', but it does the same thing. Mozilla did something sneaky with Firefox.
