To reproduce:
1. Open the attached project
2. Open the "Untitled" scene
3. Select several sprites from the Project window
4. Drag and drop them into the scene all at once
5. After animation file is created and a new game object is created in the Hierarchy, undo the operations by pressing "ctrl + z" keys

Desired outcome: After Undo operation the Sprite is removed along with the associated Game Object.
Actual result: After Undo operation the Game Object is destroyed, but the Sprite is still present.

Note: When the reproduction steps are performed on a single sprite (without creating an animation), the sprite is removed with Undo operation correctly.
Note: The sprite of non-existent Game Object also appears in the Build.

Reproduced with 5.4.5p3, 5.5.1f1, 5.5.4p1, 5.6.0b10, 5.6.2f1, 2017.1.0a1, 2017.1.0f1, 2017.2.0a1, 2017.2.0b1
Not reproduced with 5.3.8f2, 5.6.0b3, 5.6.0b9
Regression introduced in 5.6.0b10

Fixed in: 2017.2.0b11