I could not reproduce your issue but there’re a few things you can try. When you close the editor, is there any prompt asking you to close the session? If not, try remove the key Confirm_Close_Session under HKEY_CURRENT_USER\Software\Quest Software\ SQL Navigator for Oracle\Confirmation then check the Preferences to make sure the option to Close when last window closes is ticked. You can now try to close the editor again and it should prompt you to close the session.
This is my wild guess of what went wrong. If the user turn on the option and then close a window, the prompt will appear. The user may accidentally check the box to save it into preferences and click No. This action will reverse the selection on the option (i.e. it will untick the option in the preferences). The next time the user tries to close a window, it will not close the session because the option isn’t ON.