Ahh, that is done by passing values to Animation BP. Basically you declare some variable in AnimBP, then in regular BP you grab skeletal mesh, get reference to AnimBP that is used on it and pass variables of wheels position or whatever else you need there. The light tank example does this to animate boggies.
The rigging is not too complicated, basically you just blend from one bone into another. To accommodate shape of the wheel, blend can be non-linear, normally you have some automatic weight assignment in/Maya that works ok. Doing it manually can yield better results.
Just for clarification, the bones will move up/down only, to make illusion of track movement you need to animate material.
I guess, one could move bones around the spline too, not too sure how well that would work. It might work just fine. Haven’t tried it.