See the UDN for sample project. This is caused by the Editor Python sample not using the UMoviePipelineQueueSubsystem, which (when rendering) blocks the Sequencer from auto-binding to PIE.
The fix will be to reimplement:
UFUNCTION(BlueprintCallable, Category = "Movie Render Pipeline|Rendering")
void RenderQueueWithExecutorInstance(UMoviePipelineExecutorBase* InExecutor);
From the runtime UMoviePipelineQueueEngineSubsystem into UMoviePipelineQueueSubsystem
Open provided demo project
Open the Level Sequence (there's only one)
Click the top left icon in Sequencer and ensure 'Auto bind to PIE' is CHECKED
Add the level sequence to the Movie Render Queue UI
In the python console, run the following two lines:
import MoviePipelineEditorExample
MoviePipelineEditorExample.RenderQueue_ViaDuplication()
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-138236 in the post.