Thanks for bringing this up. I am noticing that “Save to H9000” for FX Chain and algorithm presets is filling in the correct name automatically, so there is likely something missing for Sessions that is making it always display “Default Session”.
If I am selecting Session > Save with either a factory session or a session I’ve created, it always brings up a saving dialog for me. I’m not sure why nothing happened for you, I’m guessing that the “unsaved settings” pop-up appeared because nothing was saved. Are you able to reproduce this issue?