Yes, that makes sense now.
Not anymore, I changed it back days ago, now there is no Hide/Show functionality, replaced with straightforward Add To Viewport and Remove from Parent. After that, there is no such stuff every time I am exiting PIE. Since problem is gone, I am no longer bother that it remain unsolved.
It will just be one of those mysterious bugs which you never manage to figure out.
While was writing this, Checked your suggestion with the pre-check with IsValid, it worked lol, thanks:
