Even when selecting "save all files", it is wrong and problematic.
Although it is technically true that project and workspace are eventually saved to files for permanent storage, insisting on "but they are files" is nothing but a pedantism.
The project holds the project's files, it is not one of them. I don't know of any software that handles this differently (and no, I am not interested in an example, don't bother searching).
One might equally argue whether "save project" means "save the project, including all source files" or simply "save the project file". After all, "the project" is the project file plus all source files. A project file alone is nothing without the sources, so if you want to be consequent, you must save those too. However, I guess that none of you seriously expects this to happen.