Comment 1 for bug 38066

This is a desired behaviour, since the gnome-vfs ftp support has not be judged reliable enough to enable saving by default. (indeed, it's quite buggy). Anyway I agree the save-on-close thingy looks a bit weird.

You can activate saving through ftp by adding ftp to the list of supported protocols in the gconf key at /apps/gedit-2/preferences/editor/save/writable_vfs_schemes

You can also have a look at http://bugzilla.gnome.org/show_bug.cgi?id=331072 which is somewhat related.