Same thing happening in 5.4.0f3. SceneManager.sceneLoaded delegate gets called a frame early.

The real issue is that the delegate is called before the scene is actually loaded. The flag "isLoaded" in the Scene received as parameter is still false at this point, and that's why activation is not possible. The flag will be true though by the end of the frame.

As a workaround I am using a coroutine like this:

public void OnSceneLoaded(Scene scene, LoadSceneMode mode)
{
StartCoroutine(ActivateScene(scene));
}

private IEnumerator ActivateScene(Scene scene)
{
yield return new WaitForEndOfFrame();
SceneManager.SetActiveScene(scene);
}

Anyway I don't see how the callback is useful if we still need to use a coroutine to do this. Imo it doesn't make much sense and I would rather be notified after loading has completed. If there is any other use case in which being notified beforehand is useful, I would really like to know. In the meantime I'm upvoting this issue.