This was discussed during development and I know that making it so previews are true previews without affecting the database until saved was a consideration and probably wasn’t updated in the plugin yet at the time you originally posted this.
I think the problem you described is fixed now. I just tested with the following steps and couldn’t reproduce the problem:
- Go to Appearance > Customizer > Menus
- Click the ‘+ Add a Menu’ button
- Enter a new menu name
- Click the “Create Menu” button
- Exit the Customizer without saving
- Re-open Appearance > Customizer > Menus and check to see if the menu exists, you can also check at Appearance > Menus
Result: a new menu was not saved, as expected.
Tested with WordPress 4.3-alpha-32784 and Menu Customizer plugin 0.6-20150615 using Firefox 38.0.5 on Mac OSX 10.10.3.
I think the only action left that makes a permanent change is deleting a menu, but that action has an “Are you sure?” message to stop people from making a permanent change if they don’t want to: https://cloudup.com/c-fB1Eoblq0