This issue is still present in 4.18.3 as I just ran into it this week. Specifically the code I am using is
GetMesh()->SetSkeletalMesh(DefaultMesh);
Which does not appear to replicate. Including a separate SkeletalMesh component on the PlayerCharacter and using that instead resolves this issue.
I would be fine with just the documentation including details about this as to reduce the amount of stumbling around to figure out why something isn’t working.
Re-linking the ticket for visibility Unreal Engine Issues and Bug Tracker (UE-16478)