As Per Bug report: closing SteamVR crashes or closes the UE4 editor :: SteamVR Developer Hardware General Discussions
“This happens because Unreal ignores the quit request from SteamVR. I thought we had the UE4 editor black-listed, though, so we wouldn’t kill it.”
So how about when a quit request is received we prompt the save dialog? That seems like a good thing to do anyway. I’ve lost a fair amount of work to this already.