Firefox now always stores the old session, and you can access it by going to the History menu and selecting "Restore Previous Session"

If you want Firefox to display the message to save the session, it can be turned back on by changing some preferences.

1. Type about:config into the location bar and press enter
2. Accept the warning message that appears, you will be taken to a list of preferences
3. Locate the preference browser.tabs.warnOnClose, if its value is set to false, double-click on it to change its value to true
4. Repeat this for these 3 preferences browser.warnOnQuit, browser.warnOnRestart and browser.showQuitWarning

If you always open the last set of tabs, an alternative approach is this:

1. Click the orange Firefox button, then select options to open the options window
2. Go to the General panel
3. Change the setting "When Firefox starts" to "Show my windows and tabs from last time"

The second option to change the setting to 'true' just makes firefox save all the tabs automatically, it does not show the message window with the option to save all the tabs. So for me the result is the same as if you would choose the third option you mention. But Maybe it works for other people.