Steps to reproduce:
1.Open attached ‘AnimationPreview.zip' Unity project
2.Select ‘Cube’ object in Hierarchy
3.Go to Window->Animation
4.Select ‘Moving’ animation in the Animation window
5.Enable Preview mode
6.Right click on ‘Cube’ object in Hierarchy and add any child object
7.Save scene

Expected result:
You remain in Preview mode and continue seeing the selected frame of ‘Moving’ animation
Actual result:
Preview mode is disabled and object is returned to default state

Reproduced on: 2017.3.0a7, 2017.2.0b11, 2017.1.1p1, 5.6.3p3, 5.5.4p5

Note: Copying any object also disables Preview mode