The problem here is Microsoft are being amazingly mealy-mouthed here.
They are right - the dialog is simply giving you information... on a setting that has already been set. Instead of trying to "trick" users, why don't they do this:
• Do not pre-set any fucking option
• Bring up a dialog that makes it clear that this is an opportunity to set a schedule, with a fucking CANCEL button to not set it
• Therefore the "X" button would leave the machine in the same state as it was prior to the dialog appearing - with nothing set.
There, simple Microsoft.