The program ensures that the state is properly saved or displays a warning about this.
FUZZEKS asks for confirmation whether you really want to exit the program, in case you selected Exit by accident. You get the same confirmation request if you leave Windows while FUZZEKS is running. Then FUZZEKS requests, if you really want to leave the program, because you could have selected "Exit" by mistake (e.g. by leaving Windows while not aware that FUZZEKS is running).