No, this is certainly not supposed to happen.
The currently active calibration target should be loaded into the monitor LUT and stay there, until you change it by picking another one from the list (you can have several different targets). At the same time the corresponding profile is loaded at system level. None of those should change until you change them.
The calibration LUT loaded into the monitor, and the icc display profile loaded by the OS, obviously need to correspond and you can't change one without invalidating the other. So the fact that the OS loads the correct profile isn't much help if the monitor's response is different from what the profile describes.
I have never heard of this happening before, but it sounds to me that the problem is in the communication between software and display. Reset Colornavigator to defaults, it's under Advanced > Standard mode calibration > Reset to defaults. Check the USB connection, wipe all previous targets and create a new one from scratch.
