Despite my saving changes to images, Gimp insists on opening a dialog every time I want to leave.
What would be the effect of killing Gimp to exit pronto?
If you kill Gimp, it won't save options for the next run, which may or may not be important. You also run the risk to kill it before it is finished exporting to disk your last image (exporting a big PNG takes time).
Gimp considers that an image is saved only if it has been saved as XCF. All other formats will potentially make you lose something: layers, channels, selection, paths...
If you read carefully the exit dialog, it tells you you can use Ctrl-D to exit and discard all changes. So you can take the habit of blindly typing Ctrl-QCtrl-D to exit (but someday you'll regret it).