Well, this is interesting. I tried to replicate the problem now by creating two new drawings, saving them, adding an element to each and closing yEd. Sure enough, it properly asked two times whether I wanted to save the changes.
But I think I replicated the problem with my second try. This time, the modification I made was to change the text on one of the elements. However, I seem not to have hit the <ENTER> key before switching to the second drawing. Then when I closed yEd it did not consider the first drawing to have changed, because I had not finalized my modification of the text. I guess this must be what I did yesterday as well.
I noticed one more thing, however. yEd does not ask the user to confirm before overwriting an existing file. If you click "Save as" and use the same file name as an existing file in the same folder, it will simply be overwritten without the user being notified of this problem.