When Game Feature Data assets are loaded as part of the Registering step in the game feature state machine used by Lyra and other games, they register themselves by calling AddGameFeatureToAssetManager. This adds that asset to the list of specific primary assets for the GameFeatureData asset type. However, it does not add this information to the list of assets to scan for in the future. If you follow the repro steps, FAssetManagerEditorModule::OnMarkPackageDirty will call InvalidatePrimaryAssetDirectory which tells the asset manager that it needs to rescan assets. Then, if you start PIE it will call RefreshPrimaryAssetDirectory which will rescan assets but incorrectly loses track of the game feature data assets that were added during feature registration. This will cause gameplay problems if the game feature assets need to be looked up later. It also breaks the list in the editor as shown in the Asset Audit window in the repro steps.
This issue is related to [Link Removed], but it is triggered by editing an asset instead of modifying the asset manager settings and does not clear as many settings. Modifying the asset manager settings as described in that bug will also incorrectly clear the list of registered Game Feature Data assets as described in this bug.
The asset audit window should show the same list of game feature datas that you saw in step 3
The asset audit window will incorrectly be empty because it lost track of the game feature data assets
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-197391 in the post.