"Build" button causes "Validation failed" and breaks references of meshes in Sublevel according to a prescribed procedure

A licensee reported that "Build" button causes "Validation failed" and breaks meshes in a Sublevel according to a prescribed procedure.
The process is quite complicated, but I can 100% reproduce this issue on 4.20/4.21.
So I posted this ticket.

I'm not sure what component is the most appropriate for this issue, would somebody please change Components if necessary.

1. Create a Third Person Template
2. In a ThirdPersonExampleMap, open Level window, and create a new level via "Create New..."
3. Put some static mesh actors like Sphere, Cube, etc. into the sublevel.
4. Push "Build" button and wait until it's done
5. On Content Browser, create a new level named "NewWorld"
6. Open the "NewWorld" level (and save all assets in a dialog)
7. You can see a warning like "Validataion Failed when saving mutuple assets, check Data Validation log"
8. Close the editor and reopen it.
9. Push "Build" Button again and wait until it's done
10. Open "NewWorld" level again
11. You can see "Data validation FAILED" in "Message Log" window
12. Open "ThirdPersonExampleMap" level.
13. You can see the meshes you put into the sublevel disappear. To be more accurate, references to Static Mesh assets of the actors are disconnected.