There's no guarantee that that trying to save a file as book-1.epub would work, what is calibre to do if that fails? try book-2.epub, then book-3.epub and keep on trying forever? At some point it has to give up. If you tell it to quit anyway, it will give up after the first failure, which is a logical point to give up. If something on your computer keeps on locking files, then you need to find and fix that something, or you need to get into the habit of not clicking yes, quit anyway.
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