Adding Custom AnimNotify in montage

A follow up to this question

I’m trying to detect the end of a montage section via binding with OnMontageEnded but it doesn’t work properly as mentioned in the previous question

I tried adding a custom AnimNotify to the end of montage section based on this solution as such:

UDELEGATE()
DECLARE_DYNAMIC_MULTICAST_DELEGATE(FOnTrigger);


UCLASS()
class MYPROJECT_API UMyAnimNotify : public UAnimNotify {
    GENERATED_BODY()


   public:
    FOnTrigger OnTrigger;


   protected:
    virtual void Notify(USkeletalMeshComponent* MeshComp, UAnimSequenceBase* Animation, const FAnimNotifyEventReference& EventReference) override {
        Super::Notify(MeshComp, Animation, EventReference);

        OnTrigger.Broadcast();
    }
};

AMyCharacter* AMyCharacter::AddCustomNotify(UAnimMontage* Montage, FName Section, float SectionEndTime) {

    UMyAnimNotify* MyAnimNotify = NewObject<UMyAnimNotify>(Montage);
    FAnimNotifyEvent NewEvent = FAnimNotifyEvent();
    NewEvent.NotifyName = FName("MontageSectionEnd");
    NewEvent.Notify = MyAnimNotify;
    NewEvent.Link(Montage, SectionEndTime);

    Montage->Notifies.Add(NewEvent);
    Montage->MarkPackageDirty();

    MyAnimNotify->OnTrigger.AddDynamic(this, AMyCharacter::MontageFinished);
}

And it works fine and adds the AnimNotify in the montage as such:

However when I restart the editor the My Custom AnimNotifies are gone and no longer visible in the montage timeline

How do I fix this and keep them in montage?