If you change the Prestige and then click Cancel, the Prestige change does get saved. That’s inconsistent wrt UX.
On the Mastery selection screen (pre- and post-Prestige), if you change your Mastery points allocations and then click Cancel, the changed Mastery doesn’t get saved - this is expected behaviour.
And for the curious, if you change Mastery points allocations AND Prestige and then Cancel, it will not save the Mastery changes but it will save the Prestige change. Very inconsistent UX.
(I could post this in the Bugs forum but that seems to have very little visibility or blizz response. Maybe I’ll move this thread later.)