Callbacks in CreatePerOwinContext() never called - what's wrong?

In Startup.cs I am using Lambdas to create an instance of my UserManager class:

app.CreatePerOwinContext(() => new IdentityContext("AuthDatabase"));
app.CreatePerOwinContext((IdentityFactoryOptions<UserManager> options, IOwinContext owin) => new UserManager(new UserStore<User, Role, Guid, UserLogin, UserRole, UserClaim>(owin.Get<IdentityContext>()), options.DataProtectionProvider));

In one of my controllers I'm using a Lambda to retrieve the UserManager instance:

private UserManager UserManager => _userMan ?? (_userMan = Request.GetOwinContext().GetUserManager<UserManager>());

But this line doesn't execute above Lambdas. Instead GetUserManager() always returns null.

What's wrong with above code? Why are the callbacks never called?