If SaveScanAs is specified, then the contents of the scan window are automatically saved to the specified file in CSV format each time a scan is run. If the file already exists, it will be overwritten without confirmation.
If SaveScanAs is not specified, there is no prompt to save a scan, but you can easily do so using the Scan Menu.
Most scans that you run are likely to be quick one-off explorations that do not require saving. The SaveScanAs setting was added mainly to make it easier to create a daily candidate list for live trading.