that's normal! you will always get that message in the UI if you kill siad.
another thing i remember is that i could sometimes trigger it if i copied files around. especially the large consensus.db file. I could just copy-paste it to another folder on that disk and then the disk would crash, also without Sia running. That's why i first thought it's a Sia problem but later i saw that it also happens with other files and then i concluded it's a disk problem.
I guess it's best to just run siad in the command window and see if you get some error message. Maybe also delete all the *.log files first so that new ones will be created. Then it's easier to see if there are any messages in the logs.