I am also having the same issue. It's INCREDIBLY frustrating. It happened to me a few months ago when I initially built my site and now still hasn't been fixed as I'm trying to update some of my footers.
What happens for me is I go to edit the word in the footer I want to link to another page on my site.... I select the page... then when I click the page I want (in the screenshot attached, I want this section of footer to connect to the herbal 101 page), the dialogue closes and so it would seem the link has been registered. But.... it has not. I have tried pressing tab, using my mouse to double click, and pressing enter. None of them seem to work.
When I go back to click on the link to double-check it "held" the link for the page, it is blank, as if I never clicked it in the first place.
This is driving me insane. Please help!