UE-199942 seems to be marked as “Can’t Reproduce”, but is still happening in 5.3.2.
In a new project, new basic level with a fresh download of 5.3.2, turn off the grid and shadow frustums show flags, and sprites and volume outlines will disappear when everything is deselected in the outliner. Turning either grid or shadow frustums back on will bring sprites and volume outlines back.