When there are unsaved documents in a session, switching the session we get a (fairly unwieldy) dialog "Unsaved Documents". Hitting "cancel" will switch session anyway, and one loses all the unsaved documents.

The only safe way when switching a session is saving all the documents.

There is even no way to review what their content is and whether they contain anything worth saving, because this is a modal dialog: in any case a fairly unpractical thing. It is quite common that one has a number of unsaved documents any wants to decide later whether they are worth keeping or not.