All my key assigments are default. In fact, I jusy went back in, clicked on 'Default' and 'Save', just to be sure. The message still comes up when I press Escape.
Since YOU don't get this message, am I silly for thinking that there may indeed be a way to turn it off?
In the main game menus, take a look at Options>>Adv.>>Game
Then make sure the boxes are unticked for: cont/quit quick mission & cont/quit campaign
If this doesn't have any effect, you may need to give a little detail about the type of flying you're doing - is it quick missions or Commander or Pilot campaigns (which missions, what campaign dates and who you flying for?)
Keep us updated on your findings!