I just opened SGP and then hit the close button....it closed without protest.
I opened it again and changed the first event in the empty sequence from 'Light' to 'Dark' and then hit the X at top right to close the program. It then told me the sequence had changed....did I want to save it. This I guess is what you are talking about. If you do anything on the sequence pane...it obviously detects that and just checks with you before closing.....a good thing I believe. Just ignore it if you do not need to save any changes.
Brendan.