Thanks for taking the time to list the reproduction steps. There is indeed a bug here, though there is also some intentional behaviour, as Daniel notes.
When you change the routing of an instrument (as you did for the second horn) Dorico turns off its automatic routing of instruments, because otherwise it may overwrite changes that you’ve made to your plugins (it can’t know what you have changed, so it chooses the safe option of not doing anything). So it’s intentional that any instruments you create after that point will not be assigned automatically.
However, it seems that there’s some internal data missing from instruments that are created after this point, so that even when you try to route them manually they won’t play back. I’ve logged this as a bug and we’ll aim to look at it for the next update.
EDIT: I have now fixed it!