Congratulations @Woodsy @Pixey and @Seerose on wins and places. I hope to join back in with the fun again soon. Very good entries from all. Great hosting from @Pixey as ever.
Just select "save" to keep the original PDN file and if you must select "save as" to make it into a different format. If you are working on a multi-layer image and you opt to save as paint.net will give you a prompt to flatten the image and the option to cancel. I only flatten / save as a PNG when I have finished what I was working on, even then I often chose to save the PDN file at regular intervals.
As for a checkbox to give you the option to keep the current image open, i have never seen a feature request for this.