I apologize for barging in, but as this thread comes up in searches, I thought I should chime in with what I learned through trial and error. The example below is not complete, but should help pointing in the right direction, hopefully.
There is a minimum required tinkering with non-C++ blueprints, but in my approach I tried my best to “set it and forget it”. If there are better ways, please share 
This is how my montage looks like, just two empty slots, I handle their population through C++
this is how my anim graph in my custom animation instance looks like
Inside each state machine I connected a dummy empty state to the entry point, not shown in this picture, but you get the gist of it.
This is my C++ code snippet to handle fetching animation sequences on the fly and assign them to the montage slots. please note that I’m using some custom functions I wrote that are not shown in the code below
for (int32 l = 0; l < oCreature->AnimMontage->SlotAnimTracks.Num(); l++)
{
FSlotAnimationTrack slot = oCreature->AnimMontage->SlotAnimTracks[l];
if (slot.SlotName.ToString().Contains("LowerBody"))
{
FAnimSegment NewSegment;
NewSegment.AnimReference = oCreature->AnimSequence;
NewSegment.AnimStartTime = animationListList.AnimationList[j].StartTime;
NewSegment.AnimEndTime = oCreature->AnimSequence->SequenceLength;
NewSegment.AnimPlayRate = animationListList.AnimationList[j].Speed;
NewSegment.LoopingCount = 1;
NewSegment.StartPos = animationListList.AnimationList[j].StartOffset;
slot.AnimTrack.AnimSegments.Add(NewSegment);
oCreature->AnimMontage->SlotAnimTracks[l] = slot;
break;
}
}
}
}
}
as I mentioned, the example above is not either complete or fully functional out-of-the-box, but hopefully should help…