That is intentional. Both Load and Store have extra functionality when exiting the menu with their own button. Store stores the active setting in the selected slot, Load loads the selected slot, thus restarting the pattern (see manual P. 9). Same for Global, which will store Global settings only when exiting the global menu with it´s own button.
A usecase would be for example if your recent changes messed up your nice pattern, just doubleclick Load and you´re back to where you started with that pattern.
Or, if you want to make sure you´ve saved everything before powering off your machine, just doubleclick Store and Global.