Thank you for your answer!
So I will need actually both. But if my class contains USkeletalMeshComponent and USkeletalMesh and I have several instantiations of that class, does this cost extra memory? I basically need the mesh only once and set it as the skeletal mesh of the USkeletalComponent for every instance. But if I add the USkeletalMesh to the class and assign it in the Blueprint, does every instance of my class allocates memory for it? Or would the solution be to load it in the constructor with the help of ConstructorHelper and make it static?