Hello,
Thank you for posting.
The pop-up window with the message "Never save password for this site" will be generated in items that are not stored in the vault yet. If you don't want a password/site to be saved in LastPass, the item must be removed.
If you are referring to a different behavior, LastPass not performing actions in a saved site, please, check the article: "Manage Never URLs in Account Settings" and consider adding a rule.
Thank you,
Karol | Customer Care