FMath::RandRange calls the c function rand() under the hood (via FMath::RandHelper, FGenericPlatformMath::FRand and FGenericPlatformMath::Rand). Unfortunately rand() isn’t thread-safe which might be the problem here.
rand()is not guaranteed to be thread-safe.
rand - cppreference.com.
Since you probably want to avoid having to lock access to the random numbers you may want to look into using a local FRandomStream instance instead. You can initialize/seed those differently outside the thread.