Keep State doesn't work when using an animation asset together with Anim BP

When using Keep State together with an Animation Blueprint on a Character, the Anim BP will override the Keep State and transition over to the idle animation as the animation in the slot no longer responds to keep state.

This is a regression as it is working in 4.18

1. Create a Third Person Project
2. Drag SK_Mannequin to the viewport
3. Open the ThirdPerson_AnimBP, go to the Animgraph and add 'Slot 'DefaultSlot'' between 'Default' and 'Final Animation Pose'
4. Create a Level Sequence then add SK_Mannequin and ThirdPersonCharacter to the Sequencer
5. Set the Animation on both to ThirdPersonJump_Loop, set the Slot Name to 'DefaultSlot', and When Finished to Keep State
6. Add the sequence to the viewport and press Play or Simulate

OR

1. Load up the attached project
2. Play in Editor or Simulate

Results: The character reverts to normal animation (as set up in the animation blueprint) after the animation finishes playing.

Expected: The character stays in the last frame of the animation which is set to KeepState (this is the case if used on SkeletalMesh without anim bp)