How to Add a Scene Component in C++?

This is how I would do it. Give it a shot. Code is untested:

auto newComponent = NewObject<USceneComponent>(this, USceneComponent::StaticClass());

if(newComponent)
{
    HeldItemRoot = newComponent;
	newComponent->AttachToComponent(GetMesh(), FAttachmentTransformRules::KeepRelativeTransform);
	newComponent->RegisterComponent();
	AddInstanceComponent(newComponent); // Refresh the editor so we can see the component
	newComponent->Activate();
}

This should create a SceneComponent connected to the mesh returned by GetMesh.