This may be a limitation with the Paper2D setup and how they’ve built collisions into it.
What you may what to do is build your collisions objects as UStaticMeshComponents and tie their relative positions to your animation update (annoying, I know), rather than utilizing the collisions within your sprite component.
Or, you can dig into the Paper2D plugin and see how they are actually building and referencing the individual hit boxes. You may be able to access them as individual components and then assign their collision presets/channels programmatically. Or modify Paper2D itself.
Or you could build your physics object as a separate UStaticMeshComponent, and use all the hitboxes as overlaps (or vice versa). That way at least you only have to build one/some of the components as 3D meshes.