GNOME Terminal does not warn before closing when started with custom command

I created a profile in GNOME Terminal that uses a custom command ssh my.server to start ssh connection to my server right after opening the terminal tab/window with this profile. However, when I click on "X" to close the tab/window, it closes without the usual warning "a process is running in this terminal, do you really want to close?". The warning option is enabled in the preferences and the warning does appear when I run ssh manually in the default terminal profile, ie. the one that starts the shell. But it doesn't appear when ssh is started automatically from the profile.

I saw that someone somewhere on the Net suggested to replace the command ssh my.server with bash -i -c "ssh my.server", but it didn't help.

I also tried MATE Terminal instead of GNOME Terminal, the behavior is the same - no warning on close when ssh is started automatically from the profile.

Is there any way to get this warning displayed?