There are two save view warning dialogs, that being one of them. It appears when you change a view and navigate away from the view (or if you quit MC w/out saving the view). This dialog is an after-the-fact reminder (which isn't terribly reliable in any event).
I'm not sure under what circumstances you won't see the other dialog - the Warning about Overwriting a locked view. I'm not able to reproduce it, but I'm thinking I have experienced it missing before.
I look at either of them as usually helpful, sometimes annoying, and not entirely trustworthy.