Please let me know how to show the close button on each tab page in GVIM.
Also, is it possible to set a warning if I am closing GVIM with multiple tab pages open?
The 'tabline' option can include a %X marker for the close tab button, but that only works for the console version of the tab line. :help 'guitablabel' explicitly states:
Note that syntax highlighting is not used for the option. The %T and %X items are also ignored.
So, to literally get what you want, you'd have to switch to the (uglier) text-based tab line with
:set guioptions-=e
But note that using the mouse (even though you may be customized to that by other applications like web browser tabs) is discouraged in Vim. If you right mouse button-click on a GUI tab label, you can alternatively also choose |Close tab| from the popup menu.
(Note that asking multiple questions is frowned upon here; please ask them separately.)
I don't think this is possible; there is a VimLeavePre event that you could hook into, but it cannot prevent the closing of Vim; the action (e.g. :qall!) cannot be undone. If you are used to closing Vim always via a mapping or command, you could overwrite that and include a check in there (using tabpagenr('$') > 1).
If you're concerned with losing your window / tab layout, rather have a look at Vim sessions (which can be persisted automatically in the background). This will allow to re-launch Vim with the previously opened windows.