It’s only possible to have one “instance” (one “program”) of Audacity running at a time.
One instance of Audacity can have multiple “projects” open (though I would not generally recommend doing so).
Yes. That’s a deliberate design decision. Once a project is closed, and changes in that project are gone and lost forever. In most cases there is zero chance of recovering the project once it has been closed without saving. Given the finality of the situation, the developers judgement is that the small inconvenience of having to click one button to confirm that you don’t want to save, is a small price compared to the cost of users losing their work from accidentally closing a project without saving.
Why have many projects open at the same time? There are very few reasons why it can be advantageous to have more than one project open at a time, and even less cases where you must have more than one project open at a time. Why not just work on one project at a time?
Imagine a situation where you were working on a couple of projects at the same time, and there was (hypothetically) an option to turn off the warning. Imagine too that you have spent several hours working on the projects. You save or export one of the projects, and now you have finished with that project, so you decide to close that project, but you accidentally “Exit” Audacity rather than “Close”. Audacity then does what you told it to do and exits. All of your hours of work on the other “not saved” project is immediately and permanently lost and gone forever.
On the other hand, as Audacity is now, if you accidentally clicked “Exit” (in the above scenario), then you get two chances to cancel before hours of your work is wiped out. MUCH safer.