The correct code to have the transform of the bone is :
int bone_index = MeshComponent->GetBoneIndex( bone_name );
FTransform transform;
Cast< UAnimSequence >( Montage->SlotAnimTracks 0 ].AnimTrack.AnimSegments 0 ].AnimReference )->GetBoneTransform( transform, bone_index, 0.0f, true );
Now I need to convert this in world space. But the problem is that the FTransform I get this way is relative to the parent of the bone. So I need to figure out how to get the correct transforms…