I’ve learned that it’s not possible, because instanced static mesh is treated as one solid mesh when drawing (that’s why we get good performance with many instances) - and after every instance transform change, it needs to redraw a whole mesh (with all instances) completely.
So it’s not possible to attach a single instance. We could create some function to update instance transform very often to match the ‘atached’ object, but it would not be performance friendly and not really convenient.