I've discovered a bug with the Path Editor part of the Activity Editor.
When making a path for a player or AI train, make sure to NOT drag the Path Editor box off the main screen.
If you do, this will dissapear and the only way to get out of the path editor is to bring up the Task Manager and select End Task for the Activity Editor, losing all your work in the process

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To get around this problem, make sure to keep the Path Editor window to the side of where you are working in, mainly with switching areas, without dragging it off the screen.