We would like a new SetDirtyOnAdd property that works just like the SetDirtyOnEdit property for business objects.  If a user clicks to add a record and never actually enters any data, when they close the screen we don't want to show the save changes confirmation message.  Is this possible?

Well, a record has to be added so that the business object knows to INSERT it into the database.  If you add the new record and then save the changes, you would then have to know to set the record back to Added rather than Modified.  So, I'm not sure.  That's what the ICancelAddNew interface is for on the BusinessBindingSource, but that's really only used by grids.