This issue has been closed as 'Won't Fix' due to an extended period of time without updates. If this issue is important to you please let us know by posting on the AnswerHub or UDN, and Epic will re-open the ticket for further review.
Placing any lights in a Layer and marking as hidden will not render when PIE. Layers should only be editor only, even if marked as hidden.
Also test in MAIN CL-2685425 where this is showing the same result.
1. Open UE4
2. Go to Windows > Layers
3. Place a Light in the scene
4. Add this to a new Layer in the Layers Panel
5. Mark this layer as hidden to hide the light in the viewport
Results: The light will not be rendered when PIE.
Expected: Since Layers are meant to be editor only the Light should render when PIE.
Head over to the existing Questions & Answers thread and let us know what's up.