This is expected. The issue is that because you have created all of those actors locally, none of them can be referenced over the network. CharacterMovement component relies on being able to reference the actor it’s standing on for network use. Replicated objects that are spawned by the Server, or objects which exist in the map file at load time can be referenced because the engine knows that all players have identical copies.
It’s not that straightforward to try and get locally-spawned objects to sync up between connections. You might start by looking at UObject::IsSupportedForNetworking(), UObject::IsNameStableForNetworking() and UObject::IsFullNameStableForNetworking()
There are a couple of people in the UE4 Discord group who have attempted it recently and I think they have something working now - you might be best to ask there.