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I have documents with a 'document last saved' item entered. It does not update when I change and save the document. It is in the header.

Have you tried Tools > Automatic Contents > Update All Stale Contents?

You can do the same thing by right-clicking the date in the header and choosing the command "Update Stale Automatic Text" from the contextual menu.

Nisus Writer doesn't always update such automatic content immediately for performance reasons. However, if you create a PDF or printout the date/time will always be updated automatically before final output.