Everything seems to be ok.
I ve done exactly the same steps as you. Instead of using a customized character, I’ve used Unreal Mannequin.
Putting the exact same option in ‘particle spawn’ that is ‘Intitiazize mesh reproduction…’, and configuring an area in the bones as you did, gave me good results. Particles were emmited well only in the bone of the head in my case.
I reccomend you to try to repeat the test in Unreal Mannequin and see if works ok. Then it could be a problem of the character.