The Entities integration in the Hierarchy window shows the current state of Entities, with its available worlds and entities. Worlds and Entities may be created (and therefore be visible) based on internal Unity systems, which is what is most likely happening in the user report. It is therefore expected that the World may no longer be visible when entering/exiting playmode.
If the scene contained user authored Entities and Worlds, then it is expected that these persist both in edit and playmode, but since that is not what is in the report, we'll close the bug as "as designed".
Thank you for reporting the issue!