I too got this error after deleting animation montages I was referencing on a data table, that was also being referenced on a blueprint.
I retargeted some animation montages, and replaced the original ones with the retargeted ones inside the data table, the proceeded to delete the original animation montages along with the skeletal mesh that used them.
Everything worked fine, but every time i used to reopen the unreal project, I was getting the failed to load asset error.
I right clicked the folder where the data tables were and used the reference viewer, I noticed the animation montages were still trying to reference the skeletal mesh of the original animation montages. So what I did was, open each of those animation montages that had the error, one by one, and switched the preview skeletal mesh to a different one and applied, saved. After I went through all of them, the error went away.