I don't know what version this was supposed to be fixed for, but the bug is still in 5.4.1f1.

But where is scripting api to set sun object via script? Still missing!

vote here if you want this to be exposed and have access by code:

https://feedback.unity3d.com/suggestions/option-to-set-sun-light-via-script

Update: finally the workaround described work for me once I assign the new invisible directional light as the sun on the lighting panel, but it is not automatically chosen. Good think is that this assignment seems to be preserved after been saved so when the scene is re-opened, it is still there and its parent (which is the real visible sun light source I want to be considered as such) seems to behave as it should. Thank you BENAKIN486.

Note: it could be very good to be able to assign this from the code, like RenderingSettings.Sun = MyDirectionalLight; I haven't seen this as an option so far, no clue if it will be on a future Unity update (IT SHOULD!)

Still not working for me, even with the workaround.

My asset has a directional light inside which after been set as the sun on the Lighting panel / Scene tab, it is simply unassigned again after scene is reloaded.

There's a suitable workaround to this issue which takes advantage of Unity's default behaviour of using the brightest light (original source of workaround: http://answers.unity3d.com/questions/936234/add-light-source-to-sun-in-skybox-with-unity-5-by.html#, see NathanWarden's answer)

1. select the light you wish to use as your sunlight in the hierarchy
2. right click and choose light->Directional Light (this will create a child directional light)
3. select the new light
4. Ensure the light has an identity transform (so it always points the same way as your parent sun light instance)
5. Increase the light's intensity to 8 (max)
6. Change the light's culling mask to 'nothing'

The new light will now always be chosen as the sun light.

FYI. I've just tested this and it isn't fixed in Unity 5.4.0f3. My sun setting for the environment lighting is not preserved between reloads of the editor. As described, the sun light I'm using is within a prefab instance.