How to stop Skype (Mac) from asking if I *really* want to close it?

I know it isn't much of a solution, but have you tried deleting the Skype app bundle, and deleting ~/Library/Application Support/Skype? It could be there there is a legacy config option in the config.xml that isn't in the UI anymore?

The config.xml is in ~/Library/Application Support/Skype/

Our numerous customers called us with the same problem. Skype for Mac does not have a setting to turn off the log-off confirmation. I tried latest Skype as of today, version 5.3.0.1093, on our development Mac and Skype has the same problem there - it prevents Mac from shutting down.

By the way, the latest Skype for Windows has a similar problem on Windows XP, Vista and Windows 7. It cannot prevent Windows from shutting down, but it hangs and Windows has to force close it when shutting down.

One way of dealing with it is to turn off ALL notifications if you'd rather live without any of them than having this annoyance with Skype preventing you from shutting down your Mac without user's intervention:

Start Skype, then go to the file menu Skype, then Preferences, then Notification and check the "Disable all visual notifications" checkbox.

If you have a file transfer that hung in Skype, it'll keep giving you that warning dialogue when you try to quit.

I'm running an older version of Skype but the location of the transfers window should be:
Skype >> Window >> Transfer

Look through your file transfer history and cancel any that are hung. That should take care of it.