It is asking you if you want to save the work offset(probably the default G54 )
There are two types of coords used by Mach, one is machine coords which most never use and then there are work offsets which 99.99% of people will use.
Heres an example, you home the machine this sets the Machine Coords to zero (in most cases) and then you jog where you want the zero position of your work to be and zero each DRO, that is you setting a work offset. When you shut down Mach it asks if you want to save that so that the next time you start the machine you home and then when you go to zero it will take you back to the previous saved offset position.
Hood