The dialog box is coming up EVERY time. It is a major nuisance.
The dialog box is also hard to find. So the effect is it appears Sublime has frozen.
Combining this post with your other one about being unable to edit the User Settings file I think something has gone wrong with your install.
First step would be to uninstall and reinstall ST.
If you are running Windows a reboot of the machine is also a wise move.
Customer support service by UserEcho