A Blueprint created from Actors in the level does not preserve the relationship (hierarchy and transforms) of both components.
Reproduced in 4.8.3 binary, 4.9 Release (//depot/UE4-Releases/4.9/Promotable-CL-2650750), and Main (//depot/UE4/Promotable-CL-2649225)
1. Open any project
2. Drag two Cubes into the level (Modes > Basic)
3. Drag the second cube in the World Outliner onto the first cube to make it a child of the first cube
4. Rotate the first cube
5. Select both cubes
6. Blueprints (in the Menu bar) > Convert Selected Components to Blueprint Class
Result:
A new Blueprint is created but the hierarchy of actors is not recreated, and the second cube is translated to a new location
Expected:
The new Blueprint maintains the relationship (hierarchy and transforms) of both components
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There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-19931 in the post.