Thanks for the answer Raze.

No, it doesn't happen for Walk in Shadow only for Sneak.

Basically to test this, I started a new game (tactician), then left my mage outside and started the battle with my rogue. I then used fast track then Walk in Shadows before I positioned myself behind one of the enemies. After opening with a regular attack, I still have AP left to sneak, which I then cast. The sneak always succeeds as I am behind the enemy, but at the start of my next turn, somehow sneak is cancelled. Sometimes, the enemy has question marks over his head, but it never cancels my sneak until the start of my next turn.

I'm curious if this is a feature or is this a bug or what? I'm really confused how in-combat sneak works.

I'll actually try this on explorer mode. Maybe with a lower difficulty setting Sneak will not get cancelled at the start of my turn.