Often, I edit many buttons at the same time.
To save it, we need to OK each editor.
Please enable auto save all editors when we clic Customize OK button.
What I find even more important, if you have several buttons edited and still open, clicking "OK" in the customize dialog will discard all changes silently.
You really expect a warning or confirmation dialog if work is about to get lost. So I agree, clicking "OK" here should save all opened dialog editors and if you don't want to apply your changes, the "Cancel" button in the customize dialog is the one to use.
Both buttons should give a warning/confirmation.
"OK" should inform that any changes to still opened button editors will be applied and require confirmation. Leaving you the chance to cancel and close those, which shall not be saved. "Cancel" should prompt and require confirmation as well, in case buttons have been changed.