Do You really, really want to kill this char?

NAY!
Oh, I hear YEA? Ok, it is deleted.

Nay doesn't work on 2nd confirmation window.

 

I had a tutorial character left over from yesterday. I picked "Just Quit" and went through all the confirmations, and got "Ok, you asked for it."

However, it did NOT delete the save file. I think the reminder should only pop up if you've never saved this character before. Or it should remind you that you are going to lose all progress since the last save. It certainly isn't deleting any characters.

 

That may be the case, I tried this with a newly created character.