I don’t know what the software engineering reasons for this are, but UObjects properies can’t have the config specifier. You can however, get around it
by using a FSoftObjectPath. That can have the config specifier. After that, you can cast it to your UObject type
UPROPERTY(Config, EditAnywhere, Category="SomeCategory")
FSoftObjectPath SomeObject;
//------------------------------------------------------------
//Definition of some class, maybe a subsystem?
UPROPERTY()
UMyObject* CacheObject;
//------------------
void InitOfSomeClass()
{
const UMySettings Settings = GetDefault<UMySettings>();
//Cache this for later, so you dont have to load it every time you need it
CacheObject = LoadObject<UMyObject>(nullptr, *Settings->SomeObject.ToString(), nullptr, LOAD_Async));
}