Initially noticed the false positive on fheroes2-1.0.3 project which uses -Werror by default. Here is the extracted example:

// $ cat screen.cpp
#include <set>
#include <vector>

struct R {
    int w;
};

typedef std::vector<R> vr_t;
typedef std::set<R> sr_t;

static sr_t FilterRs (const sr_t & rs)
{
    return rs;
}

vr_t getRs ()
{
    const vr_t filteredRs = []() {
        sr_t rs;

        rs = FilterRs (rs);

        return vr_t{rs.begin(), rs.end()};
    }();

    return filteredRs;
}

$ g++ -c -O2 screen.cpp -Werror=dangling-pointer
In file included from /<<NIX>>/gcc-13.0.0/include/c++/13.0.1/set:62,
                 from screen.cpp:1:
In member function 'void std::_Rb_tree_header::_M_move_data(std::_Rb_tree_header&)',
    inlined from 'void std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare, _Alloc>::_M_move_data(std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare, _Alloc>&, std::true_type) [with _Key = R; _Val = R; _KeyOfValue = std::_Identity<R>; _Compare = std::less<R>; _Alloc = std::allocator<R>]' at /<<NIX>>/gcc-13.0.0/include/c++/13.0.1/bits/stl_tree.h:1421:29,
    inlined from 'void std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare, _Alloc>::_M_move_assign(std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare, _Alloc>&, std::true_type) [with _Key = R; _Val = R; _KeyOfValue = std::_Identity<R>; _Compare = std::less<R>; _Alloc = std::allocator<R>]' at /<<NIX>>/gcc-13.0.0/include/c++/13.0.1/bits/stl_tree.h:1710:14,
    inlined from 'std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare, _Alloc>& std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare, _Alloc>::operator=(std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare, _Alloc>&&) [with _Key = R; _Val = R; _KeyOfValue = std::_Identity<R>; _Compare = std::less<R>; _Alloc = std::allocator<R>]' at /<<NIX>>/gcc-13.0.0/include/c++/13.0.1/bits/stl_tree.h:1744:21,
    inlined from 'std::set<_Key, _Compare, _Alloc>& std::set<_Key, _Compare, _Alloc>::operator=(std::set<_Key, _Compare, _Alloc>&&) [with _Key = R; _Compare = std::less<R>; _Alloc = std::allocator<R>]' at /<<NIX>>/gcc-13.0.0/include/c++/13.0.1/bits/stl_set.h:302:7,
    inlined from 'getRs()::<lambda()>' at screen.cpp:21:26,
    inlined from 'vr_t getRs()' at screen.cpp:24:7:
/<<NIX>>/gcc-13.0.0/include/c++/13.0.1/bits/stl_tree.h:199:38: error: storing the address of local variable 'rs' in '*MEM[(struct _Rb_tree_node_base * &)&D.35566 + 16].std::_Rb_tree_node_base::_M_parent' [-Werror=dangling-pointer=]
  199 |       _M_header._M_parent->_M_parent = &_M_header;
      |       ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~^~~~~~~~~~~~
screen.cpp: In function 'vr_t getRs()':
screen.cpp:19:14: note: 'rs' declared here
   19 |         sr_t rs;
      |              ^~
screen.cpp:19:14: note: '<unnamed>.std::set<R, std::less<R>, std::allocator<R> >::_M_t.std::_Rb_tree<R, R, std::_Identity<R>, std::less<R>, std::allocator<R> >::_M_impl.std::_Rb_tree<R, R, std::_Identity<R>, std::less<R>, std::allocator<R> >::_Rb_tree_impl<std::less<R>, true>::<unnamed>.std::_Rb_tree_header::_M_header.std::_Rb_tree_node_base::_M_parent' declared here
cc1plus: some warnings being treated as errors

I think it's a false positive (or maybe it exposes some NRVO bug?).

$ g++ -v
Using built-in specs.
COLLECT_GCC=/<<NIX>>/gcc-13.0.0/bin/g++
COLLECT_LTO_WRAPPER=/<<NIX>>/gcc-13.0.0/libexec/gcc/x86_64-unknown-linux-gnu/13.0.1/lto-wrapper
Target: x86_64-unknown-linux-gnu
Configured with:
Thread model: posix
Supported LTO compression algorithms: zlib
gcc version 13.0.1 20230409 (experimental) (GCC)