I was only able to reproduce this with BP actors. In the attached image I also tried to do it with a Basic > Cone, but was not able to repro it.
In the instance of the warning above I used BP_AnimBP_Perf asset in QAGame.
I was unable to repro this on a binary build in //UE4/Release-4.15 @ CL 3403743
After undoing the create actor, the actor is still in the Viewport. Clicking on the actor generates a warning of
Undoing the create actor removes instance from Viewport.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-44316 in the post.