+1. I had the same problem, but when I simply converted a Static Mesh with 2 material slots to Skeletal Mesh. In Skeletal Mesh, the second material slot on the mesh disappears
I made sure that my two materials have the “Used with Skeletal Mesh” checkbox checked. I also tried converting several times, but always got only 1 material slot in the skeletal mesh.
UPD: I was able to save the slots!
I tried disabling the Skeletal Mesh Editing Tools plugin (restart), then exporting the static mesh in FBX format, then renaming it and importing it back, but with the creation of a skeletal mesh upon import. This did not work for me - the engine crashed every time. Then I re-enabled the Skeletal Mesh Editing Tools plugin (restart), and tried to create a skeletal mesh again by right-clicking on the Static Mesh - And then, for some reason, the Skeletal Mesh was created with the correct material slots!
Something from this helped me, I don’t understand exactly what.