I’ve had the same problem. Could not get it to work with a skeletal mesh component while it worked perfectly well for a static mesh. Strangely enough, adding a static mesh component in addition to my skeletal mesh (scaled the engine default rock to loosely fit and made it invisible 
) did not only make the events for the static mesh available but all of a sudden I could also use the OnBeginOverlap Event in the level blueprint (the ones for the skeletal mesh itself still do nothing though), Could be a bug?