Usually when you have "unsaved changes" and close the tab or move to a different page (such as accidentally click on bookmark in your browser when you want to switch to another tab for some information) displayed a warning. But when you open the page, you begin to edit the template or add a template, and accidentally click on bookmark then the warning is not displayed and all the brought data is lost. So in the visual editor and template data editor. Losing data is bad :(
Topic on VisualEditor/Feedback
It's not a VE issue, though. You can verify this easily on en.wiki; when editing wikitext, say you want to add a Cite template via refToolbar (a popular gadget there), start filling it, then if for example you close the tab, everything is gone. I don't think the warning can be displayed if there was no change to the surface. The workaround is easy and you may want to use it whenever you're doing important work in general - even if you just hit the Space tab, you'll get the warning and that also works for the template data editor.