Reproduction steps:
1. Open the attached project "Case_1385025" and load Scene "SampleScene"
2. In the Hierarchy, right-click the "DefaultParent" GameObject and select "Set as Default Parent"
3. In the Menu Bar select "GameObject -> UI-> Canvas"
4. Observe the Scene's Hierarchy

Expected result: GameObjects are created with the "DefaultParent" as its parent
Actual result: GameObjects with no parent GameObject are created

Reproducible with: 2020.3.24f1, 2021.2.5f1, 2022.1.0b1
Not reproducible with: 2019.4.33f1 (Set as Default Parent not available)

Notes:
- Examples of GameObjects that do not respect the Default Parent option:
- Any GameObject under UI in the GameObject menu
- UI Document
- Terrain
- WindZone
- Tree
- Any GameObjects under Cinemachine in the GameObject menu
- GameObject created in Scripts via "new GameObject()" or "Instantiate()";