Have you set the mesh’s collision in the mesh asset itself? Open up the Static Mesh asset that you’re using for this component and then select the “Collision” button on the toolbar at the top to turn on the visualization. Does a wireframe that represents the collision show up? If not, try selecting the Collision dropdown and selecting one of the add options to add a default collision.
If it’s still not working after doing this, try dropping the mesh itself into the level and see if the character will collide with it.