Just close the block editing frame and save the main drawing.
The block is kept in memory, because it is part of the DXF and stored with the main drawing.
Using Save in the editing frame gives the opportunity to save the block only as separate DXF file.
This is useful to import the block into another drawing or use it in the library browser.
Thus the dialog asks for the name of the block DXF.
investing less than half an hour into Search function can save hours or days of waiting for a solution