EndNote automatically saves the changes you make. Only when you make changes to a reference and close the box, you will get the message 'Do you want to save the changes you made to reference?'
When performing other actions, like adding references to a group, EndNote will automatically save the changes.
The option 'Save a copy' in the menu is NOT a 'save changes-option', but a method to save a complete copy of the library with a new name or in another location. It is one of the ways you can use to backup your library.
Read more about backing up your library.