I finally I have been able to investigate this more. I apologies for not being able to do so faster.
My computer wasn’t working so well so I did a clean install Windows10/UE4.13
Matthew, you were absolutely right, I was confused by your graph because I didn’t even thought of the “Split Struct Pin”. Thank you again for taking the time to read my extensive post and pointing that out. I felt pretty dumb not to think about it.
I am fairly sure I have been able to reproduce what you have shown me. And you are right, it works. But from what I have tried, it looks to me like it works specifically because the asset reference you store in the saveGame is an actor that is already loaded, the SK_Mannequin, because it is used by the player. As I wrote in my original post,If I try to store an asset reference of an asset that’s not in use in the level or just hasn’t been loaded yet, the asset reference loads fine as long as I don’t close the editor. If I close the editor, it won’t.
To try this out, here is what I did:
Instead of storing a reference to the skeletal mesh that is used by the ThirdPersonCharacter, I created I a new Skeletal Mesh Reference variable in my ThirdPersonCharacter Blueprint, made it public and tried to store it using the exact same process you used.
I press play in selected viewport. I then select my ThirdPersonCharacter and set the public skeletal mesh reference variable I created to “Hands” Skeletal Mesh through the detail panel. I press F to do the whole process of saving the SaveGame instance. I then press escape and play in selected viewport again. I press G to load the reference and V to Print it’s name and set the public Skeletal Mesh reference I created. That works. Now if I exit editor and relaunch it, when I press G and V again, the reference isn’t loaded and nothing is printed on screen.
If I do the same process over again (saving, closing editor, relaunching, G, V) with the SK_Mannequin it totally works. So as I said in my first post, it looks like the reference is able to be loaded only if the asset as been loaded before, like the SK_mannequin used by the player (for some reason it also works if I use the Skeletal Cube, maybe because it’s from the engine content, I have no idea).
Soooo… I am still stuck on that one. Matthew, would you be kind enough to try this again ? Or anybody else ? I feel like I am close to writing a book on this 
Please, someone proves me I am a total noob and just don’t get it! Is anyone able to pick a Skeletal mesh Reference during runtime, save that skeletal mesh reference of a Skeletal Mesh (that hasn’t been yet loaded or used in level) inside a struct to a save game slot and then load that reference from that saved game slot ?