If you have multiple HC's they only save settings locally. That means that when you save the locomotive settings on one controller, it will not save on the other. When you select the locomotive using the second controller it will detect that the settings within the LM have changed and will request you to save those new settings to the current HC. With multiple controllers expect to go through this dance anytime you change settings on a locomotive....ANY setting. Volume, start speed, etc. The only thing that doesn't affect this is the Load setting.
If you are getting a constant save warning on the SAME controller over and over again, that is not normal. To me that would indicate a software issue within the HC. That is possible, but not one that I've seen or heard of before. If this is the case I would check in with Tim Ring and see what he thinks.
-Kevin