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File->New does not create a new database. Instead, it tries to save one.
This is not a bug, but intended behaviour, shared by popular chess databases.
For now, it will stay as it is, later we can discuss options. You may add it
as a FR.
Ok, i'm moving this to a feature request.
In my opinion, there is no need to bother the user asking for the name of the newly created database. ChessX can choose an arbitrary name, such as "Untitle 1", and later ask for a name only in the case the user wants to save his work.
Common users like me would love such a behavior, because it would be the one that is commonly adopted in almost any popular (non-chess) software.
I see no point in having a darabase without saving effortd.