FYI:
I’ve replicated this problem also. Worked fine in 15.8.x, and after updating to 15.9.0, it brings that prompt. In the New Features of the new 15.9.0, it states,
The settings for Undo buffer is obsolete. Instead, the physical memory size is used to determine whether the Undo should be retained. The physical memory threashold can be set in the Advanced tab of the Customize dialog box.
which may be related. I tried other regexp searches and replaces, and these worked fine.