This is not Windows specific, just tried it on Linux (Debian buster/10) and see the same shift in colour if creating a point on the curve/line. And it isn’t limited to the red channel.
There is a prerequisite though: This happens when you already made a change in the curve and then create a point on that curve. Creating a point before a change doesn’t create a shift, at least not a visible one.
EDIT: Also visible in latest master (3.5.0+850~g871755abb)
I thought my confirmation would be seen as: Yep, this is a bug!. If not: You should.
Might be a good idea to file a bug-report on GitHub, I just checked and there isn’t a open (or closed) one about this issue as of yet. I don’t mind doing it but that will be tomorrow at the earliest.