This message is not from Panorama, it is from macOS. If you do a google search on
could not be autosaved. The file has been changed by another application
you’ll see that this message occurs with many applications, including Apple apps like Pages.
I think this means that you are keeping your Panorama databases in a folder that is synchronized by a file sharing system, for example DropBox or iCloud. This is not a recommended practice. Panorama database files should be kept in a local folder on each computer. If you need to share a database between multiple computers, the approved solution is to use Panorama Server, which is designed to synchronize data across multiple computers.
Is it a threat to the safety of my files?
Yes, it definitely is.
I run PanX on 2 different computers, never at same time.
I suspect this statement isn’t actually true. You are probably sometimes accidentally running Panorama simultaneously on both computers even though you don’t intend to. It’s really difficult to avoid this 100% even if you are careful.