Steps to reproduce:

1) Download attached project "Missing Animation Events.zip" and open in Unity.
2) Open scene MainScene and press Play.
3) Select MissingEventCharacter in the Hierarchy tab.
4) Click the button "Perform Anim" in the Inspector 3 times rapidly to perform the 3 hit combo animations.
You should receive those messages in Console:
Received: OPEN 1
Received: OPEN 2
Received: OPEN 3
Received: CLOSE 3
5) In the "Clamp FPS" field enter 15 and click the "Clamp FPS" button. The game should now run around 15 FPS.
6) Click the button "Perform Anim" in the inspector 3 times rapidly to perform the 3 hit combo animations.
You should receive those messages in Console:
Received: OPEN 1
Received: OPEN 2
Received: OPEN 3
ERROR: Failed to received closing state for [3]!

Reproduced with: 5.4.0b21, 5.4.0f1, 5.5.0a3.

Not reproduced with: 5.2.4f1, 5.3.5p8, 5.4.0b20.