This behaviour was introduced in the following changelists in 5.3: CLs 25371706 and 25407985
There is further information provided by the licensee in the UDN case.
Enable GameplayAbilities plugin within Project.
Create a test Actor and add a Gameplay Cue to this actor.
Remove this Gameplay Cue and add a breakpoint within GameplayCueNotify_Actor::HandleGameplayCue to step through until line 215.
Step through the logic and see that the function always returns on line 221.
The logic returns early and the case EGameplayCueEvent::Removed: logic is not executed.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-200479 in the post.