The "edit labels" link (on the label tab of the "edit format" dialog) discards any change and closes the "edit format" dialog - this forces the user to redo the changes.
Is this done by design?
It happens because clicking the edit labels link triggers a page change in Preferences (it switches to the Labels page), and changing pages causes any format editor dialogs to be closed automatically.
In the next update we'll make it save any changes you've made before the dialogs are closed.