I use autowriteall to save all the files being closed without having to :write. In MacVim this works correctly with Cmd+W. I can Cmd+W all my open tabs and windows and it will save everything without asking for confirmation.

Unfortunately I cannot simply use Cmd+Q to get the same effect. Cmd+Q will always ask me about any unsaved changes. I would assume Cmd+Q would work like calling :confirm quitall in all MacVim windows.