To second GrumbleBunny’s solution, AddToRoot() / RemoveFromRoot() work well for background threads, so long as you ensure everything is removed from rootset at some point, as MarkPendingKill() (called on all objects on end play) has a check(!IsRooted()).
I do the latter via a custom ASyncTask on GameThread based off of TGraphTask's template (I used FNiagaraAudioPlayerAsyncTask for reference), so that I can ensure RemoveFromRoot() is called from the ASyncTask’s destructor