I've been having this same problem until my husband pointed out to me that there are two menu commands under the History tab that either "Reopen the last closed window" or "Reopen all windows from the last session".
That way you have keep the "Restore windows when quitting or reopening apps" checked and have it applicable for other apps, close Safari without warning when you do really want to close it, and still get your previous session back when you close multiple tabs on accident.
Now that I'm used to doing it this way, I actually like this better instead of always having to deal with the warning when I do intend to close multiple tabs. I just wish that Apple would have figured out a way for regular users like me, who don't program for Apple (like my husband does) to learn about new features like this without having to resort to an extended search or ask my husband before being able to figure it out.
The help features don't even mention any of these new changes.