Status: Fixed.
Start the editor and go to the new level menu (File -> New -> Level...), but then hit cancel. Now try to create another new level. The game now asks you whether to save the previous level due to changes made there. :lem-shocked:
I really wonder what info the save file would contain? ;P
Are you sure those are the correct steps to reproduce this? I don't get any unexpected behaviour when doing this.
If I trigger this bug (http://www.lemmingsforums.net/index.php?topic=2438.0) rather than just clicking "Cancel", this behaviour does occur. In this case, the saved file is completely empty.
Nevermind. I just added some code that will cause it to never show that prompt if no level is loaded. :)