I just tried it again and it still did the same to me as before.
I pushed the START RADIO button for 3 Doors Down. The song Here By Me played (this song is in my LIBRARY Tracks list). As a test, I thumbed down this track. After that, in my LIBRARY Tracks the track Here By Me now also is thumbed down. So further testing I told Roon to play the entire Seventeen Days album (which has the track Here By Me) and when it came to that track, it skipped it (because it was thumbed down).
So, yes, if you thumb down a track during a RADIO stream, that track will be thumbed down in your LIBRARY Tacks list and will be skipped for other play functions.