When you save a new world for the first time, you have to specify a name.
But wait ... didn't you already give a name when you created the world?
The field might have been labelled "server name" and not "file name", but I haven't had any reason to make those names different yet.
And if using the server name would conflict with the file name of an existing world, the game can always fall back on the original workflow of asking for the file name when the world is saved for the first time.