1. Import Cinemachine package
2. Add GameObject and make a prefab out of it
3. Double-click on it to open in Prefab mode
4. Click on "Cinemachine -> Create Virtual Camera" menu item
==>
Virtual camera is added to main scene

Expected: Virtual camera becomes a part of a prefab asset

Note from devs:
This needs to be fixed by the Cinemachine team:
In CinemachineMenu.cs they need to replace:
GameObject go = new GameObject(..)
with
GameObject go = ObjectFactory.CreateGameObject(..)
or create it with new GameObject() and add:
StageUtility.PlaceGameObjectInCurrentStage(..)