The paths have directionality, if you don't keep track of the direction you're drawing in it won't consider it a loop. Also, you can't leave a node with a bridge, but I'm guessing that's not the issue in the picture. I think your issue is probably mixing directions. Try clearing everything by pressing R and try again following one single direction. You can also delete the selected path by holding right mouse, if you want to delete parts of the track to figure out where you went wrong.
I'll definitely add a way to debug the direction of the roads after the jam but I do want to keep it hidden so you have to mentally keep track and plan roads more carefully. Sorry I didn't implement this feature before the end of the jam!