Is it normal Mountain Lion behaviour to save changes in Preview without asking?
Yeah, Preview has supported auto-save since 10.7.

The general preference pane has an option to ask to keep changes when closing documents. It can also be applied to individual applications:

defaults write com.apple.Preview NSCloseAlwaysConfirmsChanges -bool true


You can also disable auto-save and Versions completely:

defaults write com.apple.Preview ApplePersistence -bool false