Fixed in r20335:
http://viewvc.slicer.org/viewvc.cgi/Slicer4?view=revision&revision=20335

If I add a volume using DICOM module, and then try to save the scene, the volume is marked as "modified" and the suggested format is NRRD. Is this a consequence of the default format issue? Loaded DICOM volumes should not be marked modified by default, and the default format should remain as the one of the loaded volume.

The volume is marked as modified for the same reason a volume downloaded via the "Sample Data" module. To make sure the user saves it somewhere.
The "Save Data" dialog can't save volumes as DICOM. This is why it suggests NRRD instead.

I disagree, this is not the same. Sample Data module downloads from remote location, so yes, it should be marked as modified. DICOM module downloads from local.

In any case, in my last checkout, the behavior was as I described. Also, please consider looking at this past issue: http://www.na-mic.org/Bug/view.php?id=1818

Fixed in r20373

As of today's Slicer build, if I do not specify the extension of the file, it is not automatically augmented to the file name, and I am prompted that volume cannot be saved. See screenshot attached.

If this is a different issue, let me know and I will submit a new bug report.

Fixed in r20517