Hi xlar8or,
I bugged this last month in UE-31604 from this Answerhub post. Since then, it has been marked as “By Design”. The change in functionality was done on purpose as we’d like the state machine to be re-evaluated from Entry after a montage is played.
The main reason we don’t want the state machine running in the background during a montage is that the state would become “stale”, so to speak. Over the course of your montage, there are many instances where the expected state will change (i.e. rolling to dodge with a montage and going off a ledge would change the expected resulting state).
The state machine can be created with appropriate transitions to any of these expected states from Entry in the event it is re-initialized. However, the workaround that I posted in the other Answerhub thread can work as well.