Have shown this to be the case on 2 sites. First site reported the problem and were using TinyMCE. Second site was using CKEditor had no such problem. I then set their wysiwyg to TinyMCE and bingo replicated problem. Can't replicate on Demo as demo user is missing permissions to edit Message Templates.
My search on JIRA found this which may be an earlier example of the problem, but perhaps it has come back to life