Regression: Tested in UE5/Release-5.0, the issue does not occur so it is a regression.
This issue appears to be effecting Blueprint Actors specifically, as creating a Blueprint of any other class does not disappear when building geometry. I tested this issue with a Blueprint Actor with a Directional Light, one with a Cone, and a Blueprint Pawn and Character with a Skeleton Mesh component. Both Actors disappeared after building geometry, but the Pawn and Character remained.
Actual Result: Blueprint Actors disappear from the scene and but still remain in the outliner
Expected Result: Blueprint Actors remain visible and do not disappear when building the geometry
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-171148 in the post.