There will be no warning if you save with VBA (at least not in a PC environment). I am not sure if this will translate to the Mac.
Code:
Sub SaveAsDocXandPDF()
Dim strPath As String
On Error GoTo err_Handler
ActiveDocument.Save
strPath = Left(ActiveDocument.FullName, InStrRev(ActiveDocument.FullName, ".") - 1) & ".pdf"
ActiveDocument.SaveAs2 Filename:=strPath, FileFormat:=wdFormatPDF, AddToRecentFiles:=False
lbl_Exit:
Exit Sub
err_Handler:
MsgBox "Document not saved"
Resume lbl_Exit
End Sub