Contrary to the linked UDN question, this doesn't seem to require the actor to be replicated.
The problem is that when UWorld::DuplicateWorldForPIE is called for a PIE client instance's persistent world, the prefixed package name isn't added to the PackageNamesBeingDuplicatedForPIE list, causing FStringAssetReferences in the duplicated world to not be fixed up.
1. Unzip the attached project
2. Generate project files, build, and run an editor build
3. In the "Play" menu, set number of players to 1 and run dedicated server to true
4. Note the output log prints a message like "LogTemp: MyActor_0 and MyActor_2 ARE NOT in the same world! This indicates a PIE bug!"
5. Note that with the fix, the message changes to indicate the actors are in the same world.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-20108 in the post.