Unfortunately you cannot play Montages in the Level Sequencer.
Frustrating, I know, but I think it may have something to do with how Level Sequences actually work (they probably got too many complaints that the feature was buggy).
What are you trying to do? I made what I needed to do work, but it was VERY complicated. Stable, but complicated.
I am trying to play this specific montage that has several anim sequences combined in a track, and they all have different play rates.
Maybe I will just use a trigger event track and play the montage in the director blueprint…I think this will work, but it feels like a complicated solution to a simple thing I want to do.