The Auto Weld option is in the Blueprint window, Components view, in the Physics category for each of the components. My Blueprint’s parent class is Actor.h, and has a Root component of Instanced Static Mesh, and three additional components of Instanced Static Mesh.
I’m not sure about in code; a quick find all on the source shows bAutoWeld is a uprop in the FBodyInstance class; StaticMeshComponent’s constructor uses GetBodyInstance()->bAutoWeld = true; to turn on static mesh welding by default.