I ran into this with an iOS build, and it had a similar stack to what DENIZPIRI posted, but there are two more calls ontop of HandleNotifications:

IsSateMachineBehaviour
ShouldRunBehaviour
HandleNotifications

I'd like to see this bug fixed because I think this flag is the only real way to make an editor only script. Most resources suggest using #if UNITY_EDITOR checks, which can remove most of the CPU overhead for the component, but I haven't found a way to remove the allocation of the component all together.

We experience the same issue in our project. Stack trace looks like this.

========== OUTPUTING STACK TRACE ==================

0x0150779D (build) [c:\buildslave\unity\build\runtime\mono\monobehaviour.cpp:1189] MonoBehaviour::HandleNotifications
0x0134109D (build) [c:\buildslave\unity\build\runtime\baseclasses\messagehandler.cpp:19] MessageForwarder::HandleMessage
0x0133ADB3 (build) [c:\buildslave\unity\build\runtime\baseclasses\gameobject.cpp:1100] Unity::GameObject::SendMessageAny
0x0158AC95 (build) [c:\buildslave\unity\build\runtime\misc\gameobjectutility.cpp:1071] SendMessageToEveryone
0x015D28EA (build) [c:\buildslave\unity\build\runtime\preloadmanager\loadsceneoperation.cpp:465] LoadSceneOperation::PlayerLoadSceneFromThread
0x015D2A2B (build) [c:\buildslave\unity\build\runtime\preloadmanager\loadsceneoperation.cpp:243] LoadSceneOperation::IntegrateMainThread
0x015D07A2 (build) [c:\buildslave\unity\build\runtime\preloadmanager\preloadmanager.cpp:602] PreloadManager::UpdatePreloading
0x01593475 (build) [c:\buildslave\unity\build\runtime\misc\player.cpp:1545] PlayerLoop
0x0168B017 (build) [c:\buildslave\unity\build\platformdependent\winplayer\winmain.cpp:546] MainMessageLoop
0x0168D2B4 (build) [c:\buildslave\unity\build\platformdependent\winplayer\winmain.cpp:969] PlayerWinMain
0x01ACD5B8 (build) [c:\buildslave\unity\build\platformdependent\winplayer\shimmain.cpp:6] WinMain
0x01B035D8 (build) [f:\dd\vctools\crt_bld\self_x86\crt\src\crt0.c:275] __tmainCRTStartup
0x74F538F4 (KERNEL32) BaseThreadInitThunk
0x77335DE3 (ntdll) RtlUnicodeStringToInteger

========== END OF STACKTRACE ===========

Using Unity 5.4.0b18.

I also observe that the game will crash if any objects have a component on them with the DontSaveInBuild flag set as true. I have not checked if the object must be loaded or simply in the build.
The player crashes with an Access Violation. This only happens in a built player, and not in the editor play mode. I can verify that this happens in Windows and Android builds.

Conceivably, DontSaveInBuild would prevent the component from being in the build at all. Chances are it does but fails to inform the game object (or whatever manages loading the component) that the component does not exist, and so the initialization attempts to load the non-existent component.