Steps to reproduce the issue

1. Go to Customize > Widgets and add an EU Cookie Law Banner (Jetpack) widget to any widget area.
2. In the Policy URL widget settings section, click "Custom".

What I expected

I expected "Custom" to remain selected, so I can enter the custom URL.

What happened instead

"Custom" automatically switches back to "Default".

"Custom" only remains selected after a custom URL has been entered.

Screencast: http://cld.wthms.co/8mx1WE