I have set up linking tables for Category, Locations, Ages, Styles and Venues, and followed the Managing relational tables tutorial that you linked above.
I have set up a 'Manage Relational table' behaviour for each one (5 in total), but none of the values are being stored in the tables, and in fact it removes the previous values.
It seems to work OK when you first visit the page, in that it selects the correct tick boxes.