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Yes, we'd all been ignoring that. With beta 4, however, instead of that message we seem to be getting a situation where the app fails to completely terminate, so that the icon stays grayed-out and you can't restart it without rebooting. (Actually you can, through several means, the simplest perhaps being to use Momentics to send a SIGTERM signal to the process, but that's covered in other threads.)
Are you still seeing this "exit message" popup even with beta 4, or have you just not updated yet?