If bulk selecting, you should always see some sort of confirm dialog. On single orders you may not (depending on your email/config settings).
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If shop config set to 'confirm before sending', confirm the change in a dialog with a 'send email' checkbox and email text box for editing the email content
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If changing an individual order status and config set to 'send automatically' or 'never send emails', don't show confirm dialog.
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If bulk selection and 'send automatically', show confirm dialog with 'send email' checkbox automatically checked
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If bulk selection and 'never send', show confirmation but don't ask about emails