So I tested this and I am assuming that you are loading a slot that travels to another level while executing the Load Game World [+Callbacks] from within a Blueprint that doesn’t exist anymore after the level targeted by the slot is opened.
That is the only situation I see where the Finished Load callback is not executed.
As it should be, since the host blueprint instance is destroyed as soon the current level is closed.
When I run the node from a Game Instance blueprint, or the target level is the current level, the Finished Load callback works as usual even after opening a new level during the loading process.
I will see what I can do to try to avoid this problem.