I was about to suggest, that you are probably making a simple error in how you use the CK, which actually happens to quite a few people in the beginning. It has to do with how you select what already existing plugin file you wish to work on.
However, you seem to have already come up with a determination of the underlying cause, and it seems to be something I usually avoid, so I guess things are fine and dandy, then.

I might add, that when some software asks you if you wish to save, my experience is, that it usually is because unsaved work exists, and it is generally a good idea to answer "yes". You can hardly blame the CK for not saving your work when you explicitly tell it not to do so.
Also, saving your work is not an inconsequential part of doing your work, and it pays to focus on getting it done. There are things to monitor, like the editor briefly displaying a status text that it is saving, or the notification asterisk for unsaved work disappearing, not to mention any messages the editor might give about simply not being able to save due to certain open windows or such. It should not be seen as a click-and-forget process.