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How-To's: Closing a Dialog Chrome shut down
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First, let's observe that your interests and the author's do not always coincide. If you do something which may erase data, the author wants to warn you so that the author escapes liability. Your interest is in getting your work done, not in figuring out whose fault it is.
In deciding to close a dialog box automatically, a useful question is "do I know how to reverse this operation?" rather than whether the action could have temporary side effects. For example, the explorer message asking if you really want to delete a file is pure noise if you know how to go into the Recycle Bin and restore a deleted file. If you don't know how to do that you may be better off having a reminder before you delete. The author does not know in advance what you know or don't know, so the most conservative assumption is often made.
Another related example is where you have made a clear-cut decision. For example, you may find it handy to rename a file having an html extension to txt or vice versa. Yes, you can lose some data renaming some types of files (e.g. embedded pictures cannot be saved in text format) or automatic association with certain programs but most often that is exactly the point of renaming. You can usually rename a file back to original name with no harm done.
My experience is that the loss of data due to changing to text format is negligible compared to the hassle of confirming over and over that I really do want to change the file association.