Is the cube a physically simulated object?
Objects that are physically simulated are not attached at runtime. This is because doing so is non-trivial.
We still allow you to use the hierarchy in the editor for convenience of moving a group of objects together (e.g. table with many books as children), but this is not the case at runtime.
To get the attached behavior you can use a physical constraint, but this has some implications. We are working on a feature where you can attach physics objects together and have them be attached at runtime. See “Automatic collision welding for attached objects” in the UE4 roadmap