Steps to reproduce:
1. Open the attached project "Case_1204145"
2. Open "Scene"
3. Open Animator window
4. In the Scene view Select "Cube"
5. Enter Play mode
6. In the Animator window Under Layers select "Empty state Issue"
7. Under Parameters set "Anim1" to true
8. Switch "Anim2" to true while blending from "Any State " to "Cube_Anim1" hasn't finished
9. Notice that there is not blend

Expected results: Animation blend from "Any State" to any other state occurs when Animations are switched
Actual results: Animation blend from "Any State" does not occur when switching Animations

Reproducible with: 2018.4.14f1, 2019.2.16f1, 2019.3.0f2, 2020.1.0a16

Note: The project brakes in 2017.4