Have you took a look at ADynamicMeshActor?
It’s constructor sets up Material for UDynamicMeshComponent in the following way:
DynamicMeshComponent->SetMaterial(0, UMaterial::GetDefaultMaterial(MD_Surface));
See: Engine/Source/Runtime/GeometryFramework/Private/DynamicMeshActor.cpp#L13-L26
There is no more Material manipulation code in said Actor so I suspect that you have to manipulate it at runtime on your own.