Hey Azraen,
This is exactly what I suspected earlier. Keying an actor that is a child of another actor enters it’s relative location into the transform field, but when you play in game, that transform track is setting the world location.
The behavior that you’re looking for (which was in Matinee for UE3) is called “Relative to Initial” transforms. This is on our roadmap, but currently you’ll need to use the attach track in Sequencer and attach you skeletal mesh actors to an independent actor (not the sequence actor), then key that actor in new locations to move it around. You can then use the skeletal mesh transforms as a local transform, so to speak.