Steps to reproduce:
1. Add/Edit a post or page
2. Write some text and highlight
3. Click the "Add link" button
3. Enter a URL and press "Update" button
At this point it gives me a popup dialogue window and asks me whether to "Leave this page" or "Stay on this page".
Neither has the desired affect, the link is not created.
This is since WordPress 3.2 (including 3.2.1)
I've tested this on 3 WordPress sites, all have the same issue.