On a PC at least, the same dialogues have underscores for the 'Save' and 'Don't Save', meaning that pressing 's' saves and closes, pressing 'n' closes without saving and pressing the Esc key returns you to the document. Pressing the Enter key also saves and closes, which is what I suspect would happen with your dialogue in the state depicted in your screenshot. The keyboard arrow keys and the Tab key also allow you to navigate and activate the different options before pressing the Enter key. You might experiment with the same keys on the Mac.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]