The default value of confirm-nonexistent-file-or-buffer is
after-completion however in its customisation interface, it is always
displayed as Always. See the attached screen shot.

I have tried changing its value from the drop down menu and it is
correctly reflected in the string next to the menu. However, if you kill
that buffer and re-enter it (for example via customize-variable), it
will go back to 'always'. I think this may be a bug.

GNU Emacs 23.0.91.1 (i386-mingw-nt5.1.2600) of 2009-02-28 on BREPNB

Best wishes,

Leo