Have you added your own directional light to this scene? If you want to use a Day Sequence Device you should not add any directional lights as one is already spawned for you by the time of day manager (because having multiple enabled and visible directional lights in the scene is not supported and can exhibit undefined and nondeterministic behavior).
If you have checked “Disable All Time of Day Managers” the Day Sequence Device should not exhibit any behavior, all of its functionality requires a time of day manager to exist.
Also, do you happen to be using the lighting scalability manager at all?