Currently, Phabricator shows a form to configure any addition to the workboard menu.
For the divider, it offers a empty form.
To ask confirmation for the sake of asking confirmation of anything easy to undo detracts user experience.
Perhaps would it be interesting to implement a implicit step in the workflow handling this?
An implicit step would be a workflow step not showing a view and directly going to the next step.
This is working as intended.
This screen explains what a divider is ("This is a visual divider which you can use to separate sections in the menu. It does not have any configurable options."). Special casing it would be surprising and inconsistent (some options would act immediately; others would require confirmation). We may reasonably add options later (e.g., color or other display style). The added complexity of special casing this does not seem worthwhile given the extremely low value that doing so would provide.