It's not a burn-in effect. It's a trick. You're not hearing a single tone. You're hearing two: a high tone and a low tone played simultaneously. Then the scale goes up one-half step.
As these two notes are an octave apart, the low tone finishes out one-half step away from where the high-tone started. When you play the recording a second time, the high tone sounds like the completed progression of the low tone. Your mind is fooled into thinking the low tone is continuing onward and upward.
What about the original high tone? It can't continue. When you start the recording over, it can't go an octave higher. Looking for it, the mind finds it repeated as the low tone. This is hardly continuous, but the mind makes the leap. Why? Because it recognizes a tonal match and it wants to continue the rhythmic pattern. And before it can recognize the mismatch, the pattern continues: two tones, one octave apart, with a rhythmic progression at one-half step higher and higher.