Hi JCJazz
I've just tried to re-create you situation. I opened an .SEQ file that contained many audio files. I then saved it as a BIAB .MGU file. The following message came up.

I read the above prompt as a reminder to save the file as .SEQ before quitting Realband.
After saving as .MGU, all my audio files were still present in Realband even though the file had been saved as a BIAB file. Nothing was lost. I still had the opportunity to save all audio as an .SEQ file-type before exiting Realband.
If, however, Realband is quit before the file is saved as .SEQ, then audio will be lost.
Hope this clarifies things a bit more.
Regards,
Noel