It seems that upgrading a capital to an Enigmatic Palace before building a Maginot World from Gigastructural Engineering breaks it.

The "Ongoing Maginot Construction Site" blocker does not get removed, the Maginot Fort Complex does not upgrade into the Maginot Global Bunker System, the Central Maginot Command Complex planetary feature does not get added and most importantly the Maginot Strategic Defence Station does not spawn. However, the planet still correctly becomes a Maginot World with the right districts and looks fine visually.

Curiously, it works perfectly fine on ring world segments or when building the Maginot World before upgrading the capital.