Wow I am sorry this is so old but I believe you cannot do EXACTLY what you are asking out of a single Montage. True you can have an AnimMontague play on different Slots but I do not think you can have Two Slots on the SAME AnimMontage Playing at different times. For instance lets say you have a Single AnimMontage play a Combat Animation for an attack. You can use that Same AnimMontage to a different Animaiton if your character is using a different weapon such as a Sword instead of an Axe. The catch is the Animations need to be the same length so that all animations fit within the AnimMontage sections you defined. Then in your Animation Blueprint you would use a Blend By Boolean (or Int) to switch between using a Sword Slot or the Unarmed Slot thus playing a Sword animation when wielding an Sword or an axe Animation when wielding an Axe. This is what slots are for.
Now lets say you want to implement dual weapon combat with distinct animations for wielding swords vs Axes, meaning you want to play the Sword AnimMontage for One hand and the Axe AnimMontage for the other, thus playing two AnimMontages at the Same Time. You would need to Kajigger this a bit but it is possible. You would need Montage that plays on the MainHand.Sword and MainHand.Axe and another Slot that plays on OffHand.Sword and OffHand.Axe Off hand animations would be in One AnimMontage and MainHand Animations would be in the other. The reason is AnimMontage’s cannot play different Slot Groups (at least not when I was doing this very same thing). In your AnimBlueprint you would first blend the MainHand.(weapon) attack based on what they are currently wielding and then add in the OffHand.(weapon) attack. My suggestion is the MainHand blends from the spine up while the off hand blends from the shoulder bone down to the off hand. I’m sure you can then do some more fancy blending but that is the just of how to blend two separate AnimMontages together. They must be on Different Slots (I do not think they need to be on different groups but I may be wrong on that one)