To reproduce:
1) Create new project
2) Create and open new C# script
3) Add this function to it (and necessary using's):

[UnityEditor.MenuItem("Window/Test BackgroundWorker")]
private static void TestBackgroundWorker()
{
var w = new BackgroundWorker();
w.RunWorkerCompleted += (o, e) => UnityEngine.Debug.Log("Completed");
w.DoWork += (o, e) => { UnityEngine.Debug.Log("Background task start"); Thread.Sleep(1000); UnityEngine.Debug.Log("Background task end"); };
w.RunWorkerAsync();
}

4) Save the script
5) In top menu bar, select the new menu option you created (Window/Test BackgroundWorker)

Expected: You should get three messages - task start, end and completion
Actual: Completion message doesn't fire

Does not happen in play mode - all three messages fire there

Reproduced in 2017.1.0f3, 2017.2.1p2, 2018.1.0b3