Steps to reproduce:
1. Download and open attached project "MSE_Create_Problem.zip"
2. Open the Scenes/UI scene
3. Drag in Scenes/main so you are now utilizing Multi Scene Editing. UI is the active scene, main is loaded but not the active scene
4. Right-click "main" scene in the Hierarchy window
5. Navigate to GameObject -> UI -> and select Panel

Actual result: The panel is created in the "UI" scene instead of the "main" scene

Expected: Panel gets created in "main" scene

Workaround: Drag the new panel from one scene to another in hierarchy

Tested and reproduced in:
Windows 10
Unity 5.3.0f4, 5.3.2p3, 5.4.0b6

Note: Other objects seem to appear in the correct scene (e.g. 3d objects). Also not reproducible before 5.3, because MSE was not yet implemented.