Steps to reproduce:
1) Create a new project with HDRP template
2) Window > Package Manager > Upgrade HDRP to 7.2.1
2) Assets > Create > HD Template scene

Actual result: HD Template scene is not getting created

Expected result: HD Template scene should be created

Occurring on : 2019.3.2f1, 2019.3.1f1, 2019.3.0f6 with 7.2.1

Works fine on :
2019.3.2f1, 2019.3.1f1, 2019.3.0f6 with 7.2.0, 7.1.8
2019.3.0f5, 2020.1.0a1, 2020.1.0a24 with 7.2.1

Environment: Both Windows and Mac