Saving a header link is a bit finicky…
When you open the links section to add a link, you don’t actually see a save button. My assumption was it auto-saved, but I learned that’s not the case.
Instead, the save button is hidden until / unless you collapse the links section. I found that a bit inconvenient.
Recommendation is to always have save visible and to move button to top of the dialogue box so I don’t have to scroll down to find it after collapsing the links.
Here’s a vidyard to show what I mean: