The bug
When an entity other than a player switches dimensions, its scoreboard values are removed.
To reproduce
/scoreboard objectives add Test dummy
/scoreboard objectives setdisplay sidebar Test
/scoreboard players set @e Test 1
/execute in the_nether run tp @e 0 128 0
→ ❌ Only your score remains.
This issue occurs as well when teleporting entities into the nether via a nether portal.
Can confirm. Happens in 1.14.4 as well.