There are two scenarios you can follow:
a) 1. Open "game" scene in "game" folder
2. Bake lighting for this scene
3. Go to any other scene (For example Menu\menu.unity) and then go back to "game" scene
- Notice that capsule object's lighting isn't baked.

b) 1. Open "game" scene in "game" folder
2. Bake lighting for this scene
3. Open "menu" scene in "menu" folder and run it
4. Press "Start Host" and then "Start Single"
- Notice that capsule object's and whole scene lighting isn't baked.

Results: Built lighting is lost when scene changes in both editor and game mode.

Workaround: set "Auto" checkbox enabled in Lighting>Scene>Other settings.

Reproduced on: Unity 5.4.0b11, 5.4.0b16, 5.4.0b17