Here are the screenshots from my setup.
First the Struct and SaveGame:
And the Character Blueprint:
The main difference is that after creating the savegame object and casting it, I set a MyStruct type variable (dark blue) and it looks like you set a Skeletal Mesh Reference (baby blue). Is it the case ?
For my project, I really need the saved data to be a struct containing a Skeletal Mesh reference, not just the skeletal mesh reference. The reason is because in my project the struct contains a lot more references like materials, but also transforms and other variable that are all saved and loaded perfectly fine in 4.8 and 4.11. I just used a simple skeletal mesh to make the problem simpler and more obvious.
Actually just to be even more precise, in 4.13, all the other variables from the struct like transform, int, floats are successfully saved and loaded, only the assets references are loaded as blanked unless the assets referenced are at least open in editor before playing in viewport or loaded in game with the level blueprint.