Hi,
It seems that rather than a bug, this is moreso a limitation as shown in the following threads:
https://forums.unrealengine.com/t/parent-scale-does-not-account-for-child-rotation/293436
https://forums.unrealengine.com/t/scaling-multiple-actors-efficiently/658686
Since this is a feature request I reassigned the case to Epic so they can consider it and provide more insight on this.
As a workaround in the meantime:
1.) You can try merging the meshes: select all meshes you want to scale then use the modeling mode > Xform > Merge and then it becomes one mesh that scales properly.
2.) A bit more of a hassle, but removing the child and adjusting as needed before reattaching to the parent.
Regards