Reproduction steps:
1. Create a new Project
2. Add an Empty Object to the Scene using the Hierarchy window
3. Press File > New Scene
4. Tick Load additively and then press Create

Expected result: no unnecessary pop-up window is shown
Actual result: unnecessary pop-up window is shown

Reproducible with: 2020.3.25f1, 2021.2.7f1, 2022.1.02b, 2022.2.0a2
Could not test with: 2019.4.34f1, because there isn't an option to "Load additively"

Notes: in 2022.1 and 2022.2 streams you have to have a Scene saved beforehand to enable the "Load additively" option.
The pop-up is saying that if you do not save, the content will be lost, but pressing "Don't save" leaves the content in the scene.