I was toying with the Structure block, and tried to save my structure which is made of stacked entities: a Shulker and a FallingSand riding a small ArmorStand on the same level.(1st screenshot)
The "Include Entities" option was set to "On" both at the Saving and the Loading structure block.(2nd & 3th screenshots)
When I loaded the structure however, only the small invisible ArmorStands appeared, but not the Shulker or the FallingSand.(4th screenshot - was taken in Spectator mode)