/etc/xpra/conf.d/40_client.conf, as installed, includes a list of commented-out options for 'window-close', one of which is "ask". However, when uncommenting that line, xpra sends a warning to STDERR that the option is invalid, and that it will fall-back to use "forward" instead.
version: Xpra gtk2 client version 2.1.3-r17247 64-bit platform: debian
Well spotted, this option does not exist and has been removed from the examples in r17489.
this ticket has been moved to: https://github.com/Xpra-org/xpra/issues/1697