Data Loss: automatic safety labels in a file opened from WhatsApp

Hi everyone! I made a huge mistake... I sent myself a word file from WhatsApp, I opened it (without saving it, dumb I know) and started working on that file. I didn't know that Word couldn't save the file due to safety labels, I mean there was no pop up, no Alert, nothing, I just continued pushing the button save and then when I closed the window there was no special alert, no message, so I thought it was all fine...

My file disappeared, I couldn't find any .TMP to restore, it wasn't in the driver or somewhere else. I swear it was like writing with invisible ink!

Of course I spent this night writing everything again, but I was wondering if there's a way to suggest adding a message to make the user aware of the label. I really don't know why there wasn't any message when I pushed X button even if the file wasn't really saved.