This is a well known Magento "feature" of the flavor of all those long standing Microsoft style bugs we've come to love and expect and has been around since version 1.3.x.x
Still hanging around in 1.9.2.4
Many things have been tried over the years with varying success. Sometimes it's a server configuration issue, mod_security settings, a .htaccess redirect issue, a Magento index update to interface timing issue, browser popups, browser security settings, just general danged cussedness of the cobbled, makeshift reality of what we accept as the whole modern computer environment. Remember, programmers are clever which can be a whole different thing from intelligent.
The work-around is to have the frontend up in a tab, note that the category change has gone through on page load and then reload the admin page.
