Answer
The user can't restore this themselves once it's been turned off — an admin needs to fix it by directly editing that user's profile. The specific entry to change is under User/Windows/Application in the user's profile (the 'confirm on closing last Explorer window' setting), which needs to be switched back from False to True; this is done by opening that user's full profile directly (an admin-level profile-editing capability, not something available to the end user's own settings) and correcting the value there.