Just tried: open TextEdit, new document (creates an empty document). Close it, no save dialog.

Yup, same. Save dialog only happens if I have added some text (but will still happen if I remove the text I added, which I expected anyways).

Happens for me too. I assume it's an iCloud thing (I vaguely remember the behaviour changing around the time I set up iCloud years ago), but I haven't ever bothered trying to figure out a way to turn it off...