I have just registered to write the same thing :)
I think that must be the problem. It's not a very easy to discover feature and I was also pretty pissed about losing my messages — until I discovered the drafts.
I guess the idea was that once you exit the input box Zulip doesn't know which thread you are going to reply to — and in order to avoid sending messages to wrong threads it just clears the box (yet keeps your text). Makes sense in the threaded model, but could be highlighted a bit more.
We have tried using Zulip at my company and the main complaint has been UX.