I just tried to reproduce it and got a big warning message that says that data will be lost.

You can disable this message (per file basis), if for some reason you dont want to see it.

As far as I remember this message existed since Excel 2007 (which introduced .xlsx format), so the guy is simply lying.

Certainly not lying but it was a few years ago. Not sure which version but not 365

Yep, I'm positive but as said elsewhere this is a few years back. I recall sending the data out and getting some pretty stern feedback (this is why I recall it) Didn't make the mistake after that...