This problem reproduce with a version of PB that has the fix about entering in play mode while having the ShapeEditor open was creating an object. (https://fogbugz.unity3d.com/f/cases/1176370/)

1. Create a new scene
2. Open the Shape Tool Windows
--> This will create a preview blue object in the scene
3. Enter in play mode
4. Close the Shape Tool window
--> This will get rid of the preview object
5. Exit Play mode

Result: The preview object will get recreated even though the Shape Tool has been closed and the object in the hierarchy doesn't have PB data nor PB material on it.