Cost Plan Breakdown Baselines are losing their Cost Plan Breakdown reference when Fiscal Periods are changed in the Cost Plan
That this is the expected behavior and it is able to be reproduced in an OOB instance.
When you change the Fiscal Period for a Cost Plan, the Cost Plan Breakdowns are deleted and re-generated. This would cause the reference on the Cost Plan Breakdown Baseline to also be removed.
Our Product team has confirmed that this is expected and that they didn't find any issues because of clearing this field.