How to reproduce:
1. Open the attached project "1206943.zip"
2. Open the Empty Scene and enter Play mode
3. Notice that nothing happens and exit Play mode
4. Open the Loading Scene and enter Play mode
5. Wait for the Scenes to finish loading and exit Play mode
6. Open the Empty Scene and enter Play mode

Expected result: No Scenes are loaded
Actual result: Title Scene is loaded

Reproducible with: 2019.2.19f1, 2019.3.0f5, 2020.1.0a20

Notes:
The issue is not reproducible on Unity 2017.4 ClientChangeScene method is missing in NetworkManager.
Could not test on Unity 2018.4 due to Multiplayer HLAPI errors.
Disabling reload domain in Enter Play Mode Settings fixes the issue.
Adding a Shutdown() call to the OnDestroy method of the NetworkManager seems to fix the issue.