Steps to reproduce:
1. Create new Unity project.
2. Create new scene.
3. Create empty object in the fresh scene, then add "Sprite Renderer" to this object.
4. In "Sprite Renderer" menu, add a new sprite in "Sprite" line.
--- Note that you can add already existing unity sprites. I used "Background" sprite for testing purpose.
5. In toolbar press play button.
--- Note that "Sprite Renderer" material line changes to "None (Material)". Also empty object now looks pink in a game view.
6. Press play button again to get back to scene view.
7. "Sprite Renderer" material still remains "None (Material)".

Some observations:

• After material is set to "None (Material)" (fifth step) you can change it manually to "Sprites-Default" material and changes remains even after pressing play button again.
• Importing projects from older versions of unity doesn't reproduce this issue.