I recall reporting this issue a few years back already.. not sure where. The UI around selecting tags and categories in places like this can be a bit confusing if you don’t already know how to do it.
It’s hard to know how to get out of the UI once you’re in there selecting items. You have to select Esc or click away from it. There is no visual X button to exit, and the save button is hidden/covered by the pulldown.
I agree that it would be helpful to be warned not to leave the page if you have unsaved changes.