I think this is no longer a problem.

In the most common case, where the Wikidata item already exists, "Edit links" is just a link to wikidata.org, and it displays a browser warning if clicked while VisualEditor is open (like any other link).

When the Wikidata item doesn't exist, it's trickier, since the "Add links" button open a dialog that lets you connect the pages. But this also works mostly fine: after completing the dialog, you still get the browser warning, and will not lose your changes made in VisualEditor unless you confirm that you want to reload the page.

(I found a page I could test this on via Special:UnconnectedPages.)

Video recording:

The experience could be better (e.g. Wikibase's page connect dialog could update the page rather than reloading it), but I think it is fine as it is, especially since this feels like a corner case.