If you safe a file as pdf the filename in the title bar changes to xx.pdf. If you continue to edit and save, nothing is done. The asterisk remains after the filename in the title bar. If you want to close Smath you are asked whether you want to save your changes. If you say yes, you return to the edit window. Nothing is saved and Smath is not being closed.
If you save the sheet in a format other than sm or pdf, the title bar changes too. But you can still save the file (in the new format).