BitBucket: https://bitbucket.org/namida42/neolemmixplayer/issues/24/overwrite-confirmation-needed-when-saving
Much like how a dialog box is used to notify the player/designer if they want to overwrite a level or overwrite a replay, there should also be a similar dialog box in the Graphic Set Tool.
There isn't one? I'll be sure to address that next time I update it, then. :)