The problem can be reproduced in all version of Internet Explore.

Steps needed to reproduce the behaviour:

1. Create new custom field type of 'Multi group picker' and display it on the create issues screen.
2. Attempt to create new issue and navigage to 'CreateIssue.jspa'.
3. Enter some content in any of the fields.
4. Click on the group picker icon next to the custom field.
5. The "are you sure you want to navigate away from this page" dialogue appears.
6. Clicking OK in the dialogue brings up the group picker popup.

FireFox doesn't expose any similar problem. Also, the problem can't be reproduced with user picker used in Reporter.