To fix, enable “Auto Generate” in the lighting settings. Click on the VERY tiny light bulb icon at the lower right corner of the Unity editor window (right next to the busy spinner). At the bottom of the Lighting options window is the checkmark for “Auto Generate”. If it is greyed out then it means a Lighting Settings asset hasn’t been made. Click on the button on the top of the properties window that says “New Lighting Settings”. Now you can enable “Auto Generate”.
Without this setting, when you load a scene it doesn’t automatically generate the proper lighting. The editor will generate the lighting for you, but only when the play button isn’t pressed. So loading the scene while in play mode prevents the lighting from being generated.
I think it works this way so a complex scene will load very quickly and not slow down the editor. Generating complex lighting takes time.