Like the title says, when any non-player entity changes dimension, all of its scores on the scoreboard are forgotten. This happens for transfer between any two dimensions in any direction with any method I can think of (i.e. portal from Overworld to Nether or teleport from The End to Overworld).

This exact same issue used to occur on Java Edition (MC-161592) and was fixed there. But Bedrock also has the same issue.

I attached a video that showcases the bug, here are steps to reproduce it manually:

1. Build and activate a Nether Portal, and travel through to generate the exit portal and make sure the area is safe.
2. Place an Armor Stand in front of the Portal blocks.
3. Create a dummy scoreboard objective and make it visible on the sidebar. ("/scoreboard objectives add bugtest dummy" & "/scoreboard objectives setdisplay sidebar bugtest")
4. Give the Armor Stand a score on said scoreboard. (Move close and run "/scoreboard players set @e[c=1,type=armor_stand] bugtest 100")
5. Note that the Armor Stand entity appears on the scoreboard sidebar.
6. Use a Piston to push the Armor Stand into the Nether Portal.
7. Note that the test entity no longer appears on the scoreboard sidebar.
8. Follow it through and note that the entity is still physically present, but its score is still gone from the sidebar and any other tests on the entity's score won't find one.