When you use NewObject, there is an arg called Outer. Outer is essentially who has ownership over this new object, which creates a graph / hierarchy in your data that is important for stuff like garbage collecting and serialization.
eg If I was creating a new anim notify to place in an anim sequence, I would give the UAnimSequence object as the outer, etc. If it’s a throw away, temp object, there is a special TransientPackage you can use as the outer.