New in 5.3.0b4:
- “In the player”? Shouldn’t that be in the editor?
- In which situation is the improved message displayed? Because in b4 I still get the traditional message:
Added a MonoBehaviour:

Deleted the MonoBehaviour in the filesystem:

After Asset Import process finished:

Switching to a different gameObject and back:

With each step there’s increasingly less information to go by to find the original file.
In the Windows standalone player’s output_log.txt:
By the way, here’s a script that shows the properties of missing scripts in the inspector again and finds matching components:
http://daikonforge.com/forums/resources/fix-missing-scripts.3/