That’s not a warning about unsaved BP. It just asks if you want to restore windows that were left open when you last used editor. If something is really broken it isn’t relate to this.
If you had any sub-editor windows open, such as a Blueprint editor or Material editor, that will pop up. Hitting restore should reopen those windows.
asterisk remaining or reappearing by BPs indicates that it is a “dirty” blueprint. This seems to happen most often with BPs that reference each other or cast to each other. It’s a known issue, but aside from you to save before quitting editor it doesn’t seem to affect anything substantially. Please let us know if you have a case where that is not true.