Strangely enough I wrote that, and deleted it, at the end of my last post at least three times before settling on not including it.
Its not exactly a 'problem' just the way 'Libraries' work and how PS works.....and how the two don't play together very well.
A windows 'Library' is just a collection of existing folders on your system.
The library system doesn't expect you to save files directly in a 'Library' but rather in a folder contained within it.
PS will look for existing files of the type specified, (in this case .jpg), when you try to save a file.
When PS goes to save a file the first 'folder' it sees is actually a 'Library' folder which as stated above shouldn't have any actual files in it....just folders.....so it doesn't find any and gives that warning.
You CAN save to this library folder and it will stop the warning, in fact you could just save a blank file with a .jpg extension to that folder to suppress the warning...if it bothers you that much.
You don't have the same situation when using the 'Desktop' as this folder is not part of a 'Library'...you are accessing it directly as I suggested and as you have practised.
I can only assume that things worked OK before because you had a '.jpg' file in the Library that PS first looks in....so no warning.
As far as I can tell there is no 'problem' as such, its the same for me too, its just how these two pieces of software work...or not as the case may be.
If you wanted to get round this you could always set up a shortcut to the folders you want to save to therefore bypassing the 'Libraies' altogether...then there wouldn't be a problem.
To be honest I've never known anyone to use 'Save As...' to the jpg format, its usually used for saving the PSD file, favouring 'Save For Web...' (or equivalent), when finally saving out images.
This won't solve whatever problem you think you have but its the more normal workflow.
Also, using the Library system in Windows isn't that common....probably for the reasons you are experiencing.....its just 'nonsense' to other software.
Regards.
MrToM.
