I assume you are still holding the step while editing? The whole point of the mode is it changes the steps to playing back the sound with the step params. It does not simply change the entire interface to control a single step's params. It gives you a quick way to play back what that still will sound like... press step to listen, change param while holding, press step again to confirm. Faster than it was before.
It sort of feels like we're not understanding each other. I'm going to provide a precise procedure that illustrates the original poster's question. If this describes intended behavior, there's no bug:
(1) Turn on a Pro 3
(2) Hold the "Down" button and press "Up" to create a Basic Program
(3) Double-press "Record" and confirm that "Record" is flashing
(4) Hold down Step 1 button. Confirm that C6 plays. Do not release Step 1 button.
(5) While continuing to hold Step 1 button, press the first C# key on the keyboard. Confirm that the Step 1 display changes to C#3, and that C#3 plays. Release the Step 1 button.
(6) Press the Record button. Confirm that the Record button is unlit. Observe that the Step 1 note reverts to C6.
That's it. The question is, is the Step 1 note supposed to revert to C6 when the above procedure is performed?