Compatibility mode makes sure that content that is created in the 2007 Office system or in the 2010 Office system can be converted into a form that earlier versions of Office can use.
Word may also be detecting something is corrupt or not compatible with the file and it needs you to save it so the issues can be fixed.
To see what the issues are, go to the File menu, click Info, and then under Check for Issues, click Check Compatibility.
Any issues found will be listed in the Microsoft Word Compatibility Checker window when the inspection is complete.
To avoid the dialog in the future - click the Convert button on the Info menu to convert the document to Word 2010 format and to enable all Word features.