The warning you are getting is fairly standard in Excel - any formatting you've added to the file (eg widening columns) will get lost if you don't save the file as an excel file.. and the warning is supposed to remind you of this. Personally, the extra click or two annoys me too.
If you would like to avoid converting excel files to CSV before bringing them into R, try the openxls
package. It's saved me from a lot of that monkey business.
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