After mission failure if you choose to return to map and go to a different level the same message appears as when abandoning a mission.
Yup, same here. Though I think I found if you go back to the adventure, then hit return to map, it no longer gives the warning about abandoning.
In case it matters, I'm still seeing said bug. Doesn't impact actual adventuring or anything: I just have to "abandon" needlessly even though I've already lost.