After the latest patch, I started a new character and quit a minute later without saving. First dialog box came up and I hit "Yea". Then a second confirmation dialog came up to make double-sure I wanted to quit. On this one, if I click "Yea", it gives me a third dialog that says "Okay, you asked for it" and it quits when you click Okay. However, if I click "Nay" on that one, it still quits. It just doesn't show that 3rd dialog that says I asked for it.
Confirmed, I actually created an account to come here and post this. On the second dialog window asking if you REALLY want to quit and delete your guy, no matter which option you pick it quits and deletes it.
