When you end the game (returning to edit mode) and when getting eliminated, it is expected that the day sequence device briefly stops taking effect before resuming when you regain control of your character/respawn.
If you could more specifically show me how you have configured the level I will try to reproduce the issue. It would be very helpful to see how you have configured “World Time of Day Manager” and “Disable All Time of Day Managers” in World Settings → Time of Day. Additionally, the configuration of any Day Sequence Device’s and Exponential Height Fog actors you have in the level would be necessary to attempt to reproduce the issue.