Yes, it does! As the screen warns you... attempting to load something to the instrument’s “work area” (called “User”) will Overwrite the Data currently in the User Bank.

Solution is simple: make a .X8U File (User File) of your current User Bank before loading the Tuturial data. When finished working with the tutorial, load your File back in.
To make your own file
Insert the USB stick in the “To Device” port
Press [UTILITY] > touch “Contents” > Touch “Store/Save” > Set the “Contents Type” = USER FILE
Give your File a Name so you remember what it represents.
You can never have enough files of your work!

It is THAT SIMPLE!!!

USB stick Memory is cheap!
If you have data you created, create a file.

The only way to take something from a file and "append" it to the unused space in your user area is to first Load the content into a Library slot and then import the Performance(s) you want to append using "Library Import" which takes selected Performances from the Library and moves them into the user area without deleting any use

Any other operation which targets the User area to land content will first delete the user bank.

Another way to "load" content into your keyboard and eventually place it in the user area -- a way that's faster than Library import if you're only dealing with one or two Performances -- is to use X8B files (bulk) which are saved and recalled using Montage Connect. These do not load into the User area directly. They load into your edit buffer which you must save in your User area using [STORE]. Soundmondo is a variation on this theme which allows other users to share their own "X8B" files online and uses much the same mechanism to transfer content to your instrument.

We should add, clearing the User Bank should be something you do on a regular basis. It is not to be dreaded in any sense.

The User Bank is your work area. It’s your blackboard ... before starting work on your own custom Library data you would begin by initializing the User Bank. Just as if working out a new physics problem you’d erase the blackboard and start with a clear slate. Just as if you were going to start writing a new book you would get a blank piece of paper or start with a blank page in your word processor.

If you have data in your USER BANK you can review if at any time.
Press [UTILITY]
Touch “Contents” > “Data Utility”
Here you have a series of Folder containing your User Arps, User Live Sets, User Motion Seq, User Performances, User Waveforms. There are folders for the currently installed Libraries and Songs but these remain and never are overwritten by loading.
You can also use Category Search to search Performances, to search Arps, to search Waveforms... simply set the Bank = “User”

It is a simple and everyday thing to save a User File. I keep a running file which I name using the letters “wip” or “work in progress”. After I finish work for the day I overwrite the latest “wip” File. Typically, I review what I’ve been working on each Month (and consolidate the best and delete the dead ends)... so my latest working file is “Jan2019_wip.X8U” it contains the stuff I’m in progress working on... eventually I will make it a Library.
I will overwrite this File about 30 times this month... it contains any sounds or ideas I’ve been working on.

Anytime I run into a File that I wish to load, I don’t have to worry, even if I overwrite my User Bank by loading something, my most recently saved “Jan2019_wip.X8U” gets me back all but anything I forgot to save within the last 24 hours. But anytime you are going to Load a File, the only thing that can possibly be harmed is the data currently in the User Bank... which if you value your time, you ALWAYS save your work, immediately.

9 times out of 10 you haven’t created anything new, and you definitely have the file that you last loaded in there. So relax.
Learn to relax with overwriting the User Bank. The only way you can do that is to understand how it works!