Logic (9 Pro) handles this very well. Same procedure without a crash. (However as you decline the sample save for Kontakt all work done to the sample is gone).
I tried this in Cubase 7 also. Unfortunately I am not able to load the latest version of Kontakt in Cubase 7. But I tried with Kontakt 4. Everything went well. The dialogue box does not appear. It just saves.
I then tried with Cubase 8.5 and Kontakt 4. Everything went well. I then tried with Cubase 8.0 and Kontakt 5. Everything went well.
So the problem lies within the combination of a new Cubase version (at least from 8.5.20 and perhaps from 8.5 and up) and a new Kontakt version. I do not know if it is from the birth of Kontakt 5 or just the newest version 5.6.5. As mentioned Logic handles the latest Kontakt version and Cubase 8.0 handles Kontakt 5, and 8.5 handles Kontakt 4.
I must mention that the latest Kontakt update made some instruments disappear. PlugInGurus Mega Macho Drums disappeared from the Library (but is accessible from the file system). Most (but not all) instruments made with Jeremiah Pena’s “Engine” does not work at all. It crashes Kontakt (both in DAW and stand alone). Same with a handful of other instruments for the full version of Kontakt. This bug has been reported by me to Native Instruments and all the developers I have found (approx 10). There is also a thread on this in this Cubase Forum.
It is a little hard to tell if it is a Cubase bug or a Kontakt bug. Most likely a Cubase bug since Logic handles it. I will write to a friend of mine to see if Logic x can do the procedure.