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Are you talking about this? (from the manual on using Reaktor as a plugin):
 

After loading an ensemble or creating a new one, the Auto Save Configuration dialog with the following options will appear.
• Save this instance automatically: Enabling this option is always recommended. It ensures that the ensemble and all changes made to it are saved to a separate .ens file when you save your project. This is safest as amendments to the original ensemble will not affect your project. When enabled, you are required to choose a destination folder and a filename for the Auto Save location. When disabled, a copy of the ensemble is not made, thus saving disk space. The current setting of the ensemble panel controls will be stored within your project file. But please note, sharing ensembles in this way means that amendments to the structure of the original ensemble will affect all projects using the ensemble. Further, changes to event / audio table data and sampler file references will not be stored when saving the project.

 
 
You don't have to save it if you aren't going to make changes to the ensemble. 
 

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You should be able to tell it not to save and go on.

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Reaktor saves a large amount of information inside each ensemble. When it starts up, quite often some of these parts get changed by the initialization steps, so the ensemble change indicator gets set. This triggers the 'save changes' dialog when you close it.
 
Unless you intentionally change something, don't re-save the ensemble or any instruments.
 
If you never change anything in the files, you can leave the Autosave  option off. That just saves a local copy with changes in your audio project, preserving the original file.
 

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