It's telling you that the wireless connection was broken and it gives you the chance to save your data and exit. So you really can't pause.
By the way, does anyone know if Beasts can obtain nanoblast in the demo? I don't think that they can, but I'm not sure. If they can, could someone tell me how to get it for my Beast character?
EDIT: Dammit. Beasts got screwed over in the demo. That's kind of lame.
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