It's a problem with layer compositing. Post this on the feedback forum, this qualifies as a bona fide bug.
A few versions back PS introduced a new layer compositing engine. It was buggy at first, so there was a checkbox in preferences to "use legacy compositing". Then this box was removed, as the problems had supposedly been resolved. But apparently not.
Lightroom doesn't support layers, so it uses the flattened composite that Photoshop inserts in the file. That's why you see it there, but not in Photoshop.