No this is not new; already OpenOffice.org 1.0.3
from 2002 warned if you wanted to close a document saved in an external format; and OpenOffice.org 2.2
from 2006 gave the warning upon saving, just as LibreOffice does since its start:

If you didn’t get the warning previously, you could had it disabled (e.g., because you accidentally played with the checkbox in the dialog), and recently you could reset the profile, thus re-enabling the default behavior.
Yes it should warn you every time; and I suggest you to consider it, because it really means what it tells: using external formats is likely to give you headaches; consider using native ODF formats if possible, and only save to external formats when you need to send the data to someone who can’t use ODF.