This is not any type of bug. It's not even a Pages or a Mac thing. It is quite common in most programs, even in Windows.
Open a document in any program (Word, InDesign, Photoshop, Excel, whatever) and print the document without changing anything. When you attempt to close the document, 9 times out of 10 (I don't want to claim it happens 100% of the time, because I just don't know that for sure) the program you are using will ask if you want to save changes.
I don't know for sure why it happens, but I do know that it's been this way for as long as I can remember. I have to assume that invisible changes are made to any file that you print, prompting the "Save Changes..." dialog.
Don't take my word for it, try it yourself. I experimented with Word, Photoshop, and Excel on a Vista machine before posting this.