The Profile Changed Dialog Box

  To keep changes to your Mail profile options, you must save
  them before exiting Mail.  The Profile Changed dialog box
  informs you that you have attempted to exit Mail without
  saving your profile options and prompts you to save them.

  Click on Yes to save the profile option changes and exit Mail.
  You can also save the profile changes with the Save Settings
  menu item on the Options menu prior to exiting Mail.

  Click on No to exit Mail without saving your profile changes.

  Click on Cancel to remain in Mail.