how to keep simulation changes?

I understand it can be done with Keep Simulation Changes, but despite UE showing a message “Saved state for xxx” all objects jump to their initial posisions after I leave the simulation.

What I am doing is:

  1. Alt-P to play the level (made with FPP template)
  2. Wait till everything settles down.
  3. Shift-F1 to regain mouse control
  4. Click Eject to regain camera control.
  5. Move to settled down objects, select them, press K (or choose Keep simulation changes from the right click menu)
  6. Unreal editor displays “Saved state for the BP_MyCube object” (MyCube is a BP with cube being the only component, all the BP does it is making sounds on collisions)
  7. Press esc to leave the play mode - all objects jump back to their initial positions.

What am I doing wrong? UE 4.21.2 if it matters.