The question about saving Building Blocks started with a recent release of Word. It is a bug. The question will come up whenever you use a building block. Here is the thread about this.
Using any Building Block triggers warning message about changes to Building Blocks.dotx Page Numbers, Cover Page, Header, Footer, Text Box
It did not cause this problem. You can rename your files back.

Work-around - can you click on Custom Margins?

You can also use the Dialog Launcher in the bottom right corner of the group to open the Page setup dialog. This is the same dialog you would get using Custom Margins.