If there's a preference for that, I have never found it. The Mac version has been doing that for decades, IFIRC. I stopped thinking about it years ago.

Thank you.  I just put it out there in case anyone has found a solution.  I have never given it much thought either until now.  I'm teaching a beginning band of 50 and am finding it easier to just project the lines for all the instruments (like a score).  This is helping them track the music as I point instead of staring at me instead of the notes (as some always used to do).  But, when I'm done with the class, I may have 10-15 documents open which then all ask for confirmation before closing.  I wish I could just exit Finale and it closes because nothing has changed.  Oh well, wishful thinking.

If there's a preference for that, I have never found it. The Mac version has been doing that for decades, ...

If there's a preference for that, I have never found it. The Windows version has been doing that for decades, ...

...have to click "no" each time the prompt appears to save again. 

All you need do is hit the Enter key.  If you made no changes all this does is update the date on the file. 

Many apps from many companies do this.

As far as I can tell, Finale writes a time stamp so you can see when it was last opened. 

Hitting the Enter key saves this change. Clicking Don't Save discards it. You can see this in the following screenshot. I opened both the Viola and Cello+Bass parts but used the Enter key on the Viola only.

I am among those who likes to see when I last opened a file.