calibre does not lock the file it is working on. I see no reason to do so, it reduces interoperability between programs and is a windows only feature (windows is the only platform that has mandatory file locks). In fact, the saving code in calibre is designed to be atomic without locking. So when you save, the original file is not written to, instead a new file is created and then renamed to the original. Since ebook formats dont support in place updating in any case, this approach makes the most sense.
If you do happen to move/delete the file externally, as you discovered you can always save a copy. And note that the failure only happens if you move/delete the *folder* in which the file is, not the file itself.
I could probably make that option prominent on the error dialog when a save error occurs.
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