I can create a wall sign that is not on a block using a command, such as

    setblock ^ ^ ^2 oak_wall_sign

(I use this a good deal in some builds to have information provided that doesn't get in the user's way.)

If I use a structure block to save the region that contains the sign, the sign will not get loaded.

To reproduce, create a wall sign in the middle of empty space using the command above. Place a SAVE structure block below which encompasses it, and save to some file. Place a LOAD structure block for that same file somewhere and load it. That sign will be missing.

This is a problem whether or not the structure block region includes the block behind the sign (where a real block would go) or not.