Child Actor does not get BeginPlay if SetClass used inside Parent's BeginPlay

Per https://udn.unrealengine.com/questions/332025/childactorcomponents-spawned-actor-doesnt-get-begi.html

If SetClass is used to set up a ChildActor as part of BeginPlay, that ChildActor does not get its BeginPlay call.

Run the attached project
Press PIE

Note that there is no message from the child actor.