OK so let's be perfectly clear here - I have not made a mistake!
In VideoWave I have a Project with all my Images, Transitions and Movies - are you suggesting I do an extra save of that Project, as it already takes forever to save it with Roxio largely doing nothing (despite what may have been suggested elsewhere saying Roxio has many things to do, which I agree with but I can't see it doing anything to anything in my Resource Monitor, no file access, no network access, just takes over 100% of one of my CPU's in Videowave).
Anyway, so now I have my Project, already saved as xxx.dmsm eventually. Now I press the DVD looking thing to "Export As" and fill in the blanks, and choose to create an MPG (in a different directory to my Roxio Project) with the same name as I already have. It says it already exists and asks if I want it to overwrite it, to which I say OK, like I do in every other Windows application. Roxio goes away and starts creating the MPG file I chose to have created, but then I realise there were some other errors which I wanted to address but haven't noted where they were, so want to look at the MPG file so I can fix them so click on "abort" to stop the "Export As". IT HAS DISAPPEARED even though it was previously safely in place from the last successful "Export As".
It's either an application BUG, or very very poorly designed piece of Software, and it's not my mistake!!!