That warning message pops up if the style has been modified but not updated at the point you choose to update the scene (or when you create a new scene after modifying the existing style) by right clicking on the scene tab and choosing Update. If you aren’t getting that warning, you’ve evidently elected to not show it. The default setting is for that warning to show up. Got to Window>Preferences>General and tick the box to make it show up again.
If you are clicking the update button in the Scene window instead, make sure the scene is highlighted. You should get a window as below showing which options to save.
Are you seeing that? When you click Update, it should open that warning message window and as above, select to Create a New Style or Update the Selected Style.