I finally found a way to prevent this annoying question popping up each time I want to quit Emacs. It has been annoying me for ages, and all the solutions on the web did not work. So here is the code to add to .emacs:

(add-hook 'ess-post-run-hook 
	(lambda () (set-process-query-on-exit-flag 
		(get-ess-process ess-current-process-name) nil)) nil)

It was quite simple, indeed the solution was just to find the good hook, that was executed early enough (it looks like kill-emacs-hook is run after the question was already asked) but not too early (some tips here and there mentioning inferior-ess-mode-hook failed because the process doesn't exist yet when the hook is run). I was focusing on getting the process with (get-buffer-process (current-buffer)) and a lot of that kind of things, but it was apparently of little importance: everything just works when you do it on the right time.