Default funcionality of Mendix and set reference selectors are fine as long as you keep close to editing entity A (Page A_NewEdit). As soon as you also want to modify Entity B in the progress, stuff gets too complicated for Mendix to keep track.
Solution I use often is the use of an HelpEntity which contains 2 associations, 1 for Entity A and 2nd for Entity B. This HelpEntity is the caller of the Page of your pop-up after pressing "select association with B" on your A_NewEdit.
With Mendix 7 coming up, the is now a deprecation made known that a Help Entity is no longer allowed to be Non-persistent, which was ideal in these temporarily entities. It just means it will become 'persistent' and correct roll back behavior should be applied in order to clean up the cash.
Hope this helps!