Click the symbol that looks like a lightning bolt on the top left of the Vegas window.
This removes anything that’s not on your timeline from your project. Save your project again, exit, start it up and you won;t get the nagging. Repeat as necessary.
Be advised that this will also remove anything that hasn’t yet been added to your timeline.
From the online help menu:
Click the Remove All Unused Media from Project button to remove any files that have not been used on the timeline.
