UNiagaraComponent does not override IsReadyForOwnerToAutoDestroy, so it always returns true. This gets checked every tick if an actor is set to auto destroy, so actors with Niagara Components do not wait for the system to finish before being auto destroyed.
The actor will not appear in the level, because it will destroy itself as soon as it ticks. The actor's event tick will not log a message either.
The actor should stay in the level indefinitely because the particle system will never finish.
There's no existing public thread on this issue, so head over toAnswerHub just mention UE-72141 in the post.