To reproduce the issue follow the steps:
1. Create a GameObject and attach a couple of components
2. Notice that the scene is dirty (denoted by the '*' next to the scene name in the Hierarchy window)
3. Save the scene. Notice that the '*' goes away
4. Right-click a component and choose the 'Move Up' or 'Move Down' option
5. The scene is not marked as dirty

Expected scene is marked as dirty (remind you to the save scene) because part of the object was changed.

Reproduced in 5.4.0b2, 5.4.0b1, 5.3.1p3, 5.2.2p1, 5.1.2p4