You have to do a rollback (from 2.4.x there's a object / rollback microflow activity) in your custom cancel microflow before the close form action, otherwise the client would (justly) give the message you described. I guess you only close the current form in your microflow.
This have to fix your problem, it also works for me.
@N.b: You said you use a custom save button that doesn't close the screen, but only saves the object. In that case be sure you checked the "Refresh in client" box in your commit action. Let me know if this solves your problem.
The problem is that we also have an 'apply' button that saves the changes but doesn't close the form. If the user then tries to navigate to another form or e.g. uses the 'back' button, then the message appears (and subsequently, the user thinks that the 'apply' button isn't functioning properly...