Many thanks for reporting this!
If you get a task for a girl from a different town, you can use the 'Viewing Sector' dropdown to switch to that town's sector, without needing to take the train back to that old town. The intention is that there's one facility that all the girls from all towns are sent to, so you're already there.
But you definitely raised a valid point, as it turned out that taking the train to a different town dropped your current task. I've released a patch that fixes this (version 5.16).