I had a similar problem, but I created both components in a constructor and, despite the warning, the constraint worked all the same.
But I noticed that I don’t get the warning if I use the SetConstrainedComponents function in the BeginPlay() of the actor. (Not PostInitProperties(), for example, it appears that there has to be some kind of initialization on the component before it’s seen as “dynamic” by the constraint… I’m guessing it has to do with how the physics engine works.)
So, when you create your component at runtime, it’s probably a good idea to wait for its’ BeginPlay() to kick in, before you call SetConstrainedComponents().
Also, I think you need to register your component with RegisterComponent() and attach it to another component with AttachToComponent() right after you create it with NewObject(), if you’re not already doing that.