Hi,
The Sequence Editor will not automatically save any files, unless you specifically call the PropertyObjectFile.Save method on the file in question. The asterik will not appear unless you increment the change count of the PropertyObjectFile. I think this is what you want to do. By incrementing the change count, the Sequence Editor will note that the Sequence File has changed and then display the asterik behind the file name. So therefore, what you need to do is call SequenceFile.AsPropertyObjectFile, which will return a PropertyObjectFile reference. Then using this reference call IncChangeCount. Now, once you close the dialog, you will see the asterik. Hope this helps!
Bob