Hi Pajamaman!
The issue you reported is there in all (android) devices. Pressing the back button while in the file manager will push you out of the program without a prompt, ignoring user settings.
Sadly is not the easiest thing to debug as it just happens on android and happens without a good reason
While the bug is not fixed we can add the simplest workaround: a way to ignore the back button completely. This is not optimal as it disables "back key navigation" but you can still navigate if you setup a gesture of your like and assign the "Back" action to it.
It will be available soon, hopefully before 2020.06, under Settings gear -> navigation -> ignore back button completely (or something similar).