Reproduction steps:

1) Open a new HDRP project or HDRP template
2) Open a new scene
3) Enter Play mode

Error:
Some objects were not cleaned up when closing the scene. (Did you spawn new GameObjects from OnDestroy?)
The following scene GameObjects were found:
StaticLightingSky

Note: If Lighting window is open, the error does not appear.

UPDATE:
The repro steps are fragile, but the bug can be still reproduced with 2019.3.0f2 with HDRP 7.1.6

Repro1:

1) Open HDRP template
2) Open new scene
3) Enter Play mode

If youre lucky will see the error

Repro 2:

1) Open HDRP template
2) Clear baked maps
3) Close Lighting window
4) Enter Play mode
5) New scene
6) Enter Playmode

Repro 3:
Keep entering playmode in new scene and template scene inbetween actions below

Bake lighing
Clear lighting
Always keep lighting window closed