OK, I have added this request to the tracker:
Issue 2106 – Optionally upload file saved in editor only after confirmation
You can vote for it there.

There are many reasons to save a file, for example

1. To format a document, my formatters are triggered on save.
   
2. To trigger the IntelliSense, the IntelliSense and static code analysis are triggered on save in vscode
   
3. To Keep a copy in the Windows temp file in case the editor gets closed
   
4. To save a copy in the editor local history explorer so you can go back to in case you need that.
   

Personally, I really use the first 2 points above.

So why are you saving it, when you do not want to upload it?

I don't know if that feature already exists, I haven't seen it.
When I edit a file via FTP/SFTP, it is automatically deployed to the server on save, but sometimes I don't want to upload it automatically.
It's best to show an upload dialog just like FileZilla on save, which asks the user whether he wants to upload the file or not.