You want to be prompted before saving changes to the normal template.

Whether you say yes or no depends on what you want. It is important that you have the ability to reject changes being saved.

Again, when you have Word create a new normal template, you will want to save it. When you have saved style and font changes or recorded macros or otherwise changed the template, you will want to save changes. When you have not deliberately made changes, you probably do not want to save changes.