Another way you can try out is to right-click on the Skeletal-Mesh asset and create Physics asset.
If that does not work, you can right-click in the content browser, search for Physics and then create the asset, you can open the skeletal mesh and see that you can connect a physics asset from there.
Both methods will not works. With the correct size mesh the resulting skeleton structure inhibit the creation of a physic asset generating the error I reported. If I upscale the same mesh of a factor 10 then everything works (I just have to scale the mesh in actor viewport).