I'm not familiar with the Korean input method or how it is used in Sublime Text, but I notice that every character is selected until you have confirmed the glyph you want. And the last character is still selected/unconfirmed when you click away from the Korean text. So I suppose you should confirm it, maybe by pressing return, before moving the cursor elsewhere.
One could argue that Sublime Text should do this automatically if the cursor is moved away from the active text. Does anyone know how other editors handle this?