My recipe seems to be reproducible. Just tried it again, on a freshly started Sonar with a new projrct.
 
Someone at the Bakery needs to look at the code that watches the state of the edit filter (and possibly other things) when the auto lanes are opened and closed. Something's not syncing up properly.
 
Beepster, will you do the honors?

jpeterson, in your track options (i.e. at the top of the track window you have "View, Options, Tracks, Clips, MIDI, Region FX") do you have "Select track envelopes with clips" checked? Because if you don't, the automation won't be selected when you select a clip and so won't move with the clip. If it's not checked then check it and try your steps again. 

@sharke - Yes, I have now repeated my steps and after every step, checked the status of
"Options>Select track envelopes with clips" and it is always selected.
BUT!
If after step 4) I deselect/reselect the option before moving the clip, everything is OK again.
 
So that narrows the bug down.
Somewhere along the line, Sonar loses cognizance of that setting.
 
I am on Platinum Hopkinton.

The loss-of-clip-follow bug is reported under [CWBRN-40963]