1.Keep "save LOD Actors to HLOD Packages" on in the project settings.
2.Regenerate proxy meshes and rebuild HLOD.
4.Change preview device to Android ES3.1.
5.Now we could see the lightmap behaves normal.
6.Change forced HLOD level to LOD0 in hierarchical LOD outliner.
7.The lightmap for HLOD proxy mesh also behaves normal.
8.Reopen the level and Switch forced HLOD level to LOD0 in hierarchical LOD outliner.
9. Now the lightmap for HLOD proxy mesh is lost, and the viewport shows the "lightings need to be rebuilt" message.
Test project is here: [Link Removed]
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-138843 in the post.