I've been having this problem for a long time. I do not save some new documents while closing the program and I encounter this warning when the AF is restarted. This mostly happens with the documents I recently closed. And I don't see this warning all the time but, E.g. I turn off the AF in the evening and see this when I open it in the morning.
I've noticed that if I quit the Affinity Photo beta with a file open and explicitly tell it not to save, it is prompting when I start it again to restore the unsaved file. 1.9.0.199 under macOS 10.13.6.