PrintString in GameMode construction script is never fired (not shown in output log)

From Joe Conley:

I'm not sure exactly when the game mode is spawned in the case of PIE, but hooking up a print string node to the start of the construction script, I never see that printed in the output log. I thought maybe the game mode only gets constructed on editor load, but even restarting the editor doesn't seem to produce the output in the output log...