This actually works. I created a seconds Static Mesh Component with the same static mesh and Visible = False. On the second one I have the Option to enable “Generate Hit Events”. The Event is not properly triggered when I hit something.
But I am far from happy with this solution. This is Unreal Engine 4, a professional game engine, it should have the possibility to generate Hit Events without using a horrible hack 
Thanks anyway for your workaround. I will try to contact Epic about this issue.