While I think this is a useless interaction point and should be done away with, can you please make the phrasing less confusing?

Changes not saved-> tells me changes are not saved. Means I click YES if I do not want to save them.

Save before exiting-> Means I click YES if I want to save them.

The second part of the question negates the first. I have been using the program for over 5 years, and it still forces me to pause and ponder what should I select sometimes.

Replace it with one of the two above phrases. Either just 'Changes not saved', or just 'Save before exiting', or preferably the succinct 'Save changes?'