The whole unreal system doesnt support keyframing. Ever.
Animations in unreal are fluid and always interpolated, so wanting to “keyframe 2d style” automatically means, choose a different engine.
Additionally, unless a fighting game suddenly has a crowd of people or something similar that uses skeletal meshs and tanks pefromance, there are only ever 2 to 4 characters on screen.
As such, there is probably no need to optimize by mesh merge unless dealing with a mobile version and enven then its likely pointless now a days.
master pose component (or whatver it is called now which did change) simply makes it so that any mesh added to it utilizes the same animation the skeleton is using.
If the skirt has its own animation, then thats discarded…
If the skirt has additional bones (take for example a face with rigging), then the shared bones are overwritten while the additional ones do whatever else they are instructed to do.