Need clarification on the "leaving file browser" warning.

[Bravry]

I've looked in the manual, this repository, and the internet and can't find clarification on the "leaving file browser" warning. If I have a rom loaded and I press Start+Down to get to the file menu, then hit B to exit the core I receive the following warning

"you are about to leave the file browser. Doing so will stop the running game and prevent saving ram contents."

I do not understand this warning. Wasn't the game already saved by opening up the menu in the first place? I thought that's all you needed to do to ensure your saves were pushed to the SD card? Is there another way I should be exiting a core?