We don't show confirm dialogs when switch from VE<->NWE, and they aren't particularly useful when switching between VE and the 2010 wikitext editor. Switching editors should be as seamless as possible and these dialogs add a useless confirmation step to a completely reversible action.
The original thinking behind this was (1) we previously had a dialog before mid-edit switching was implemented that warned you that data was going to be discarded (that is no longer the case) and (2) that a user switching editor might have been just playing around with the toolbar, and then would get "lost" in the other editor. The switching tool is now consistently styled and fairly easy to find in both editors so I don't think will be an issue.
Additional benefit: I think there have been some cases where users switched from section editing to visual editing and blindly clicked on "Discard changes and switch", and only noticed when too late that they just lost their edit. Showing the confirmation only when it really is necessary will probably prevent this.