The logic has change slightly. When you close a a modified unnamed file (i.e quit command), the file will be deleted from disk immediately. Keep in mind that you are prompted whether you want save the changes to the file before the close can finish. In beta 3, we put the file in a delete list to be deleted when SlickEdit exits. The delete happens immediately now.
Since you can have multiple sets of auto-restore information (one global and one per workspace), it's easy to create a scenario where the unnamed file is deleted when you restore to a duplicate.
The warning is arguable unnecessary since it should just mean that you already decided that you didn't need this unnamed file any more.