This message appears when the syntax window, which is always in Unicode is being saved in code page mode but the window contains characters that are not defined in the current code page. For example, you might be using the standard western European code page (1252) but have a Japanese character in the file. Japanese characters cannot be represented in code page 1252. The current code page is determined by the settings in Edit > Options > Language.
When you choose Local encoding in the Save/Save As dialog, this check is performed. If you are saving in Unicode encoding, the message should never appear, since Unicode can represent all characters.
I have occasionally seen this message when there did not seem to be any characters that would be lost, so you may want to just ignore it after reopening and checking the file once.
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