Microsoft Excel won't save new file automatically if book1.xlsx is present in documents folder

Question

I have Microsoft Office 2016 installed on my work laptop (Windows 10).

I have been noticing that Excel and Word are not prompting me always to save on exit. And today I confirmed that Excel is exiting without saving my new file if I click exit -- I lost half a day of work because of this. No recovery and no files were saved.

After some investigations with a colleague, we deduced that the problem is occurring because I have a file named Book1.xlsx in my Documents folder.
Did anyone else have the same issue?
Am I missing an option that enables/disables that?