Lol I was actually in the middle typing up my own response saying basically the same thing. I reworded my Google search and found some threads saying that was possible. After making some custom Blueprint Scene components in the past, I was under the impression they couldn’t actually have sub-components at all!
For more context for people visiting this later, you can in fact instantiate components from a SceneComponent’s constructor and attach and manage them from that SceneComponent. This allows you to have whatever component features you need on any custom C++ SceneComponent.