To reproduce create a cascading select custom field and add it to some issues in a particular project.
Then go to the split custom field context built-in script and select the configuration scheme for the cascading select and the project the values were added to, selecting all issue types.
Run the script.
Now the values for the cascading select are gone from the issues.
If you go to the custom field configuration screen for the cascading select it's been mapped to the correct context but the values are not copied over.