I think the answer to this question heavily depends on your usage patterns.
Many people keep a browser open for days or weeks. In that case, ‘sanitize on close’ is still useful but can’t reduce exposure to the degree forgetful browsing or blocking+whitelisting could.
If on the other hand, you typically restart your browser frequently/daily. Sanitize on close may be a reasonable compromise.
here is a basic visual representation of how I see the difference:
