"Sidecar file has conflict", keyword changes in LR not being written to JPEGs

I am new to Lightroom and evalutating 3.6 on a trial.
I performed the following test:
1. Imported 3 pictures into Lightroom from my hard drive
2. In Lightroom, I made a keyword change to one photo (removed a keyword).
3. All three photos' Metadata icon show the arrow, indicating that there has been a change. (I only changed the keyword on one photo.)
4. I click the icon for the photo whose keyword I changed.
5. I get the message "The metadata for this photo has been changed in Lightroom. Save the changes to disk?"
6. I click "Yes".
7. The photo's Metadata icon shows an exclamation point. When you hover over the exclamation point, it shows the message "Sidecar has conflict".
I have two questions:
1. My expectation is that when I changed a keyword, or any other metadata, in LR, it will show up on the photo outside of LR. My understanding is that this is a functionality of LR. Am I wrong? (The Help files seem to indicate that this is a reasonable expectation.)
2. I am assuming, having read many posts on the forum, that the error message "Sidecar has conflict" is a bug. Am I right? (My understanding is that JPEGs don't have sidecar files, which just makes this message even more odd.)
I am on Windows 7 Home Premium (upgraded from Vista Home Premium), 32 bit.
Thanks for your help,
--Elisabeth.

Beat, Thanks for taking the time to answer.
Your expectation is not quite right:
Any change to metadata will primarily be recorded in your catalog, and nowhere else. Only if you perform "Save Metadata to File" (which can be set to be done automatically in your catalog settings) or "Save the Changes to Disk" after pressing the arrow, the changes will be written into your JPEGs (or into *.xmp sidecard files for Raw images) and can be seen from outside of LR.
Yes, you are right. What I should have written was: My expectation is that when I change a keyword, or any other metadata in LR, the change will show up outside of LR, after I "Save Metadata to File". This is not happening, instead I get the error message and different keywords in LR than outside.
Where do your originals reside? Could it be you don't have the proper authority to rewirte the JPEGs?
My originals reside on my Public drive: I definitely have rights. In fact, I did many other change to photos in the same drive after I posted this on the forum.

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