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After pressing it you will be presented with "Refresh Issue" prompt that makes sure, you clicked on Refresh Sheet button intentionally, and inform you about possible lose of made changes (3).
Confirming refresh, will remove any changes you made to issues, query Jira for updates made to them and insert them into your worksheet and remove all new issues you were about to create.
To go directly to particular issue in Jira, click on its issue key (highlighted in blue hyperlink from "Key" column).
Refreshing selected issues
If you want to get updates from only some of the issues, while preserving the changes made to the rest of them, select issues you want to refresh and click Refresh Selected Issues button (2). Just like when refreshing the whole sheet, this will discard all changes made to the selected issues and update them with the latest changes from Jira.