No. This is not a bug.
In this sequence you already made your selection to change from Editing to Viewing mode, and this is why you are entering Viewing mode.
The dialog is asking if you would like to apply this to your
default detailed page mode. The "default detailed page mode" is going to impact how this screen behaves after this change takes effect. If you opt to click "Yes, change to Viewing" this will only take effect after you logout and log back in again. This is where you profile settings will be reloaded. At that point, if you enter this page then the default entering mode will be 'Viewing'.
When you clicked "No" to this dialog, you basically said that next times (after logout and re-login) your default mode shall stay on 'Editing' which means that this page will load up in Editing mode.
But, again, this selection is
NOT overriding or replacing what you just changed for your immediate experience with this page. It only applies to the default mode which takes effect after your settings will be reloaded.
Here is this setting that's mentioned. Click "
My Settings" -> the see the argument: "
Default Detail Page to Viewing Mode".
If
checked this means that you will enter detail pages in
Viewing mode.
If
unchecked this means you will enter detail pages in
Editing mode.
Your answer to that dialog is going to impact this param and will take effect after logout and re-login.
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To conclude:This dialog is irrelevant to the immediate change you just made asking to enter the page you work on in Viewing mode.