I just stumbled upon this, thinking it's something new, but apparently it isn't.
I also find the current behaviour a bit inconsistent. If I have more than one window, closing the window with pinned tabs would move the pinned tabs to one of the other windows. If the window with pinned tabs is the only one, closing it would close Vivaldi (seemingly following the logic of showing the exit dialogue/close window dialogue regardless of whether pinned tabs exist). I'm thinking that something should be preventing closing a window with pinned tabs - at least as a warning. Maybe this can be hooked into the default exit/close window confirmation - thus instead of just "on" and "off", they could have a third state: "on when pinned tabs exist".
I somewhat agree with the notion that if you have something important to keep, you should move it to another window yourself, but I disagree as well: sometimes I just forget, and if e.g. I have a rather long post in progress and the page itself doesn't ask confirm closing the tab, it could lead to extra work if I accidentally close it.