Thank you for your answer, but I need to create my custom actor component (UMyActorComponent), not UActorComponent. It seems you are creating UActorComponent. UMyActorComponent is a child of UActorComponent.
so first you need to create an ActorComponent class that derives from UActorComponent. Then you can add this newly created ActorComponent to your actor.
I know that I can have my custom component deriving from UActorComponent and then I can add it manually to a an AActor BP, but how to do that in C++ only? I mean creating like other components in UE4 with using CreateDefaultSubobject.