Hello friends,
Thanks for the tips. I solved the problem, it made me feel so stupid 
The problem is that UDK was not finding my custom animations to play them, because my pawn was configured to use the default UDK Animation Set for characters, and I was importing the animations on another animation set. So I simply imported the animations on the default UDK Animation Set for characters, and now it is working.
At least, the first step I have done, now I need the second step which is to play a custom animation on the enemy once attacked by this chainsaw.
Cheers…